Re: Labor Day curve problem

Posted by Ferdinando M. Ametrano-3 on
URL: http://quantlib.414.s1.nabble.com/Labor-Day-curve-problem-tp6771p6772.html

Hi Nathan

On Tue, Sep 23, 2008 at 12:48 AM, Nathan Abbott <[hidden email]> wrote:
> I have having a problem with evaluating a swap near Labor Day.

which QuantLib version are you using?

> I can reproduce it with the swap example by changing the calendar and the index. Here is the modified swap example.
> [...]
> All I did is change to evaluation date to August 28th, 2008, change the calendar
> to JointCalendar(UnitedStates(UnitedStates::NYSE), UnitedKingdom(UnitedKingdom::Exchange)),
> and change the the index from Euribor6M to USDLibor(6*Months).

I applied your modifications and had no problem. see the attached
file. I am using the current development trunk version

ciao -- Nando

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