Curves on bank-holidays

Posted by Simon Ibbotson - Straumur on May 02, 2008; 8:53am
URL: http://quantlib.414.s1.nabble.com/Curves-on-bank-holidays-tp5678.html

Hi,

 

Does anyone have any hints for me for pricing instruments when the valuation date is a non-working day?

 

For instance, we had an EUR bank holiday yesterday, but I needed to value certain EUR denominated instruments.

 

The main issue is the EUR curve – which fails to build (requires fixings for swaps).

 

I “could” set the valuation date to be different for those instruments – but was hoping someone had a neater solution (i.e. have a means whereby the curve doesn’t fail to build).

 

Cheers,

 

Simon

 

Simon Ibbotson

Quantitative Analytics

Capital Markets

Straumur

 

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