Re: Labor Day curve problem

Posted by Nathan Abbott on
URL: http://quantlib.414.s1.nabble.com/Labor-Day-curve-problem-tp6771p6775.html

Luigi and Ferdinando thank you for your help. I will look into revision 15311.

On Wed, Sep 24, 2008 at 4:58 AM, Luigi Ballabio <[hidden email]> wrote:

On Wed, 2008-09-24 at 12:53 +0200, Ferdinando Ametrano wrote:
> 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.
>

> > 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.

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