Posted by
Ferdinando M. Ametrano-3 on
May 02, 2008; 9:14am
URL: http://quantlib.414.s1.nabble.com/Curves-on-bank-holidays-tp5678p5679.html
Hi Simon
> Does anyone have any hints for me for pricing instruments when the valuation
> date is a non-working day?
> [...]
> The main issue is the EUR curve – which fails to build (requires fixings for swaps).
my favorite approach is to set the evaluation date equal to the last
good business day.
In my opinion this is the only solution that really makes sense from
the financial point of view: the market quotes you are probably using
do refer to the last good business day anyway; to apply them to a
different business day might result into relevant errors in some cases
because of calendar and market conventions (end-of-month,
turn-of-year, etc.).
Ex-post if you really care you could adjust your NPVs for the one-day
discount factor
Last but not least: build failures because of missing fixings is
revealing that you are not taking into account the fixings of the last
good business day. If you roll back the evaluation date to the last
good business day they are not required (as the system assumes they
might be not available yet) but you should take care and include them.
ciao -- Nando
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