Posted by
MonkeyMan-3 on
URL: http://quantlib.414.s1.nabble.com/Missing-USDLibor6M-Actual-360-fixing-tp7050.html
Anyone know what is happening here? I get this error message while I'm trying to
price a vanilla IRS. Here is some log output:
2010-08-05 06:19:06,757 INFO bootstrap - Today: Friday, May 27th, 2005
2010-08-05 06:19:06,757 INFO bootstrap - Settlement date: Tuesday, May 31st,
2005
2010-08-05 06:19:06,757 INFO bootstrap - Currency: usd
2010-08-05 06:19:06,773 INFO bootstrap - Libor date: Friday, May 27th, 2005
2010-08-05 06:19:07,136 DEBUG bootstrap - Using ibor: USDLibor, 6m
2010-08-05 06:19:07,138 INFO bootstrap - Creating swap: 2yf2y
2010-08-05 06:19:07,138 INFO bootstrap - Swap start: May 31st, 2007
2010-08-05 06:19:07,138 INFO bootstrap - Swap maturity: May 31st, 2009
2010-08-05 06:19:07,138 INFO bootstrap - Pricing swap: 2yf2y
1st iteration: failed at 16th instrument, maturity May 31st, 2007, reference
date May 31st, 2005: 2nd leg: Missing USDLibor6M Actual/360 fixing for May 26th,
2005
Note that the error is for the 26th even though I'm processing data for the
27th. Neither May 26, 2005 nor May 27, 2005 is a holiday in the US. Somewhere my
setup is backing up to what it thinks was the processing date, but it got it
wrong. What's especially odd is I successfully process swaps for the preceding
two months before I get to this date and blow up.
Any ideas? Thanks
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