Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Missing-USDLibor6M-Actual-360-fixing-tp7050p7053.html
On Fri, 2010-08-06 at 11:15 +0000, MonkeyMan wrote:
> Here is a complete program that reproduces the anomaly (not calling it a bug). I
> suspect instead that it is something I am doing incorrectly. This code should
> look familiar. It is the swapvaluation example with a couple of changes. Most
> importantly for this post, instead of starting with the settlement date and
> backing up 2 days to get today's date, I start with today's date and go forward
> 2 days. That is how this would be run in the RW. Thanks in advance for any help!
It's a calendar mismatch. USD libor is fixed in London and uses a
calendar which joins US and UK holidays. Since May 2nd 2005 was a
holiday in the UK, the USD-Libor settlement for April 29th is May 4th,
not May 3rd as you get by advancing 2 days on the US calendar.
Conversely, the USD-libor fixing date for May 3rd is April 28th, not
29th. When you try to price a swap with that settlement date, the libor
instance tries to retrieve the April 28th fixing (which is in the past,
so it can't get it off the curve) and gives you the error.
Luigi
--
Debugging is twice as hard as writing the code in the first place.
Therefore, if you write the code as cleverly as possible, you are,
by definition, not smart enough to debug it.
-- Brian W. Kernighan
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