On Wed, 2008-09-24 at 12:53 +0200, Ferdinando Ametrano wrote:
> On Tue, Sep 23, 2008 at 12:48 AM, Nathan Abbott <nkabbott@gmail.com> wrote:
> > I have having a problem with evaluating a swap near Labor Day.
>
> > 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
That's why you had no problem---I fixed that problem on the trunk about
a month ago. Nathan, if you're familiar with Subversion, you can
retrieve the changeset from revision 15311 and apply it to your sources.
Luigi
--
Steinbach's Guideline for Systems Programming:
Never test for an error condition you don't know how to handle.
-------------------------------------------------------------------------
This SF.Net email is sponsored by the Moblin Your Move Developer's challenge
Build the coolest Linux based applications with Moblin SDK & win great prizes
Grand prize is a trip for two to an Open Source event anywhere in the world
http://moblin-contest.org/redirect.php?banner_id=100&url=/_______________________________________________
QuantLib-users mailing list
QuantLib-users@lists.sourceforge.net
https://lists.sourceforge.net/lists/listinfo/quantlib-users