gmane.comp.finance.quantlib.devel

MJC1 | 9 May 22:28

New Calendars


Hi,

I've created 4 additional calendars currently not included in version 0.9.
The formats were taken from existing calendars.

Could these be added to the calendar library?

Thanks,

Mike Craig

http://www.nabble.com/file/p17155910/greece.cpp greece.cpp 
http://www.nabble.com/file/p17155910/france.cpp france.cpp 
http://www.nabble.com/file/p17155910/belgium.cpp belgium.cpp 
http://www.nabble.com/file/p17155910/malaysia.cpp malaysia.cpp 
http://www.nabble.com/file/p17155910/malaysia.hpp malaysia.hpp 
http://www.nabble.com/file/p17155910/greece.hpp greece.hpp 
http://www.nabble.com/file/p17155910/belgium.hpp belgium.hpp 
http://www.nabble.com/file/p17155910/france.hpp france.hpp 
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Lecuyer, Fabrice | 12 May 03:10

Re: New Calendars

Hi Mike,

I just had a look at the french calendar you implemented, and I don't think it is correct. 
There is no such thing as Good Friday or Boxing day in France (They actually exists, but only in
Alsace-Lorraine). Furthermore, when a holiday falls on a week end, it doesn't get moved to a Monday or a Tuesday.
Finally it misses a few holidays, such as Armistice day, All saints day (which you have for the belgium
calendar), or Bastille day. Here is a complete list:

Public Holidays

1 January 	New Year's Day (Jour de l'an)
1 May 	Labor Day (Fête du premier mai)
8 May 	WWII Victory Day (Fête de la Victoire 1945; Fête du huitième mai)
14 July 	Bastille Day (Fête nationale)
15 August 	Assumption of the Blessed Virgin Mary (Assomption)
1 November 	All Saints Day (La Toussaint)
11 November 	Armistice Day (Jour d'armistice)
25 December 	Christmas Day (Noël)
26 December 	2nd Day of Christmas (in Alsace and Lorraine only)

Moveable Feasts
Religion: Christian (Western)
Feast 	2007 	2008 	2009 	2010 	2011 	2012
Good Friday*   	6 April 	21 March 	10 April 	2 April 	22 April 	6 April
Easter (Pâques)   	8 April 	23 March 	12 April 	4 April 	24 April 	8 April
Easter Monday   	9 April 	24 March 	13 April 	5 April 	25 April 	9 April
Ascension (l'Ascencion)   	17 May 	1 May 	21 May 	13 May 	2 June 	17 May
Pentecost (la Pentecôte)   	27 May 	11 May 	31 May 	23 May 	12 June 	27 May
Whit Monday   	28 May 	12 May 	1 June 	24 May 	13 June 	28 May

(Continue reading)

headers

MJC1 | 12 May 14:31

Re: New Calendars

Hi Fabrice,

Thanks for looking into the calendar for me. I was relying on the Bloomberg
settlement calendar. Many of the holidays you listed are there, however
Bloomberg does not denote them as non-settlement days. We need this calendar
to calculate accruals for French Bonds, so its days that the market is
closed that we are after.

I suppose writing this in the documentation would have been useful =).

Any thoughts?

Fabrice_CBA wrote:
> 
> Hi Mike,
> 
> I just had a look at the french calendar you implemented, and I don't
> think it is correct. 
> There is no such thing as Good Friday or Boxing day in France (They
> actually exists, but only in Alsace-Lorraine). Furthermore, when a holiday
> falls on a week end, it doesn't get moved to a Monday or a Tuesday.
> Finally it misses a few holidays, such as Armistice day, All saints day
> (which you have for the belgium calendar), or Bastille day. Here is a
> complete list:
> 
> Public Holidays
> 
> 1 January 	New Year's Day (Jour de l'an)
> 1 May 	Labor Day (Fête du premier mai)

(Continue reading)

headers

op | 12 May 15:15

Re: New Calendars

I think in the case of France it may be preferable to support a workday calendar - definitely makes your
software more efficient to check for workdays than for holidays...Zzzzzh

this messags was sent from a mobile device

On May 11, 2008, at 9:10 PM, "Lecuyer, Fabrice" <Fabrice.Lecuyer <at> cba.com.au> wrote:

Hi Mike,

I just had a look at the french calendar you implemented, and I don't think it is correct. 
There is no such thing as Good Friday or Boxing day in France (They actually exists, but only in
Alsace-Lorraine). Furthermore, when a holiday falls on a week end, it doesn't get moved to a Monday or a Tuesday.
Finally it misses a few holidays, such as Armistice day, All saints day (which you have for the belgium
calendar), or Bastille day. Here is a complete list:

Public Holidays

1 January    New Year's Day (Jour de l'an)
1 May    Labor Day (Fête du premier mai)
8 May    WWII Victory Day (Fête de la Victoire 1945; Fête du huitième mai)
14 July    Bastille Day (Fête nationale)
15 August    Assumption of the Blessed Virgin Mary (Assomption)
1 November    All Saints Day (La Toussaint)
11 November    Armistice Day (Jour d'armistice)
25 December    Christmas Day (Noël)
26 December    2nd Day of Christmas (in Alsace and Lorraine only)

Moveable Feasts
Religion: Christian (Western)
Feast    2007    2008    2009    2010     2011    2012

(Continue reading)

headers

Luigi Ballabio | 12 May 17:46

Re: New Calendars

On Fri, 2008-05-09 at 13:31 -0700, MJC1 wrote:
> I've created 4 additional calendars currently not included in version 0.9.
> The formats were taken from existing calendars.
> 
> Could these be added to the calendar library?

Sure. Just one thing: may you provide a reference to the source of the
information you used (a URL or something) to be included in each header
file?

Thanks,
	Luigi

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conditions that make it fail. 
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Craig, Michael | 12 May 17:49

Re: New Calendars

Hi Luigi,

The information was sourced from Bloomberg (CDR Command). Would you like me to resend the header files or
can you add this in?

Cheers,

Mike

-----Original Message-----
From: Luigi Ballabio [mailto:luigi.ballabio <at> gmail.com]
Sent: Monday, May 12, 2008 11:47 AM
To: Craig, Michael
Cc: quantlib-dev <at> lists.sourceforge.net
Subject: Re: [Quantlib-dev] New Calendars

On Fri, 2008-05-09 at 13:31 -0700, MJC1 wrote:
> I've created 4 additional calendars currently not included in version 0.9.
> The formats were taken from existing calendars.
>
> Could these be added to the calendar library?

Sure. Just one thing: may you provide a reference to the source of the information you used (a URL or
something) to be included in each header file?

Thanks,
        Luigi

--

(Continue reading)

headers

Luigi Ballabio | 12 May 17:56

Re: New Calendars

On Mon, 2008-05-12 at 11:49 -0400, Craig, Michael wrote:
> The information was sourced from Bloomberg (CDR Command). Would you
> like me to resend the header files or can you add this in?

You mean Bloomberg gave you the errors on the French calendar that
Fabrice Lecuyer reported? Makes me wonder how accurate their information
is. Before Fabrice's post, I would have taken it at face value.

Is there anyone on the list from Belgium, Greece, or Malaysia? May you
check the holidays and see if they are correct?

Thanks,
	Luigi

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A conclusion is the place where you got tired of thinking. 

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Craig, Michael | 12 May 18:01

Re: New Calendars

No - Bloomberg provided those holidays as well but indicated that they were in fact settlement days. The
classes which I uploaded provide the dates for which securities do not settle on.

Reason being - we are processing French Bonds and need non-settlement days to properly calc accruals,
yield, etcetera... The other holidays Fabrice mentioned are provided in Bloomberg however they are
listed as regular settlement days.

-----Original Message-----
From: Luigi Ballabio [mailto:luigi.ballabio <at> gmail.com]
Sent: Monday, May 12, 2008 11:57 AM
To: Craig, Michael
Cc: quantlib-dev <at> lists.sourceforge.net
Subject: RE: [Quantlib-dev] New Calendars

On Mon, 2008-05-12 at 11:49 -0400, Craig, Michael wrote:
> The information was sourced from Bloomberg (CDR Command). Would you
> like me to resend the header files or can you add this in?

You mean Bloomberg gave you the errors on the French calendar that Fabrice Lecuyer reported? Makes me
wonder how accurate their information is. Before Fabrice's post, I would have taken it at face value.

Is there anyone on the list from Belgium, Greece, or Malaysia? May you check the holidays and see if they are correct?

Thanks,
        Luigi

--

Matz's Law:
A conclusion is the place where you got tired of thinking.

(Continue reading)

headers

Lecuyer, Fabrice | 13 May 02:24

Re: New Calendars

Hi all,

I just looked at Bloomberg and they do see those dates only as non settlement dates. However, I still doubt a
french bond can settle on the 14 of July (Bastille day) for example. Even Belgium has it's national day as a
non-settlement day.

I've never worked in France for a financial institution, but maybe somebody working in France can
enlighten me?

Fabrice

-----Original Message-----
From: quantlib-dev-bounces <at> lists.sourceforge.net
[mailto:quantlib-dev-bounces <at> lists.sourceforge.net] On Behalf Of Craig, Michael
Sent: Tuesday, 13 May 2008 2:01 AM
To: 'luigi.ballabio <at> gmail.com'
Cc: quantlib-dev <at> lists.sourceforge.net
Subject: Re: [Quantlib-dev] New Calendars

No - Bloomberg provided those holidays as well but indicated that they were in fact settlement days. The
classes which I uploaded provide the dates for which securities do not settle on.

Reason being - we are processing French Bonds and need non-settlement days to properly calc accruals,
yield, etcetera... The other holidays Fabrice mentioned are provided in Bloomberg however they are
listed as regular settlement days.

-----Original Message-----
From: Luigi Ballabio [mailto:luigi.ballabio <at> gmail.com]
Sent: Monday, May 12, 2008 11:57 AM
To: Craig, Michael

(Continue reading)

headers

Luigi Ballabio | 13 May 10:10

Re: New Calendars

On Tue, 2008-05-13 at 10:24 +1000, Lecuyer, Fabrice wrote:
> I just looked at Bloomberg and they do see those dates only as non
> settlement dates. However, I still doubt a french bond can settle on
> the 14 of July (Bastille day) for example. Even Belgium has it's
> national day as a non-settlement day.

Ok, I just had a more careful look at the submitted France calendar.
It looks to me it's just the TARGET calendar. Am I wrong?

Luigi

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MJC1 | 13 May 23:17

Re: New Calendars


It should be the calendar indicating all non-settlement days.

I'll check with Bloomberg to see if their is an error on their end.

Luigi Ballabio wrote:
> 
> On Tue, 2008-05-13 at 10:24 +1000, Lecuyer, Fabrice wrote:
>> I just looked at Bloomberg and they do see those dates only as non
>> settlement dates. However, I still doubt a french bond can settle on
>> the 14 of July (Bastille day) for example. Even Belgium has it's
>> national day as a non-settlement day.
> 
> Ok, I just had a more careful look at the submitted France calendar.
> It looks to me it's just the TARGET calendar. Am I wrong?
> 
> Luigi
> 
> 
> -- 
> 
> Never mistake motion for action. 
> -- Ernest Hemingway 
> 
> 
> 
> -------------------------------------------------------------------------
> This SF.net email is sponsored by: Microsoft 
> Defy all challenges. Microsoft(R) Visual Studio 2008. 
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Luigi Ballabio | 14 May 21:28

Re: New Calendars


On May 13, 2008, at 11:17 PM, MJC1 wrote:
> It should be the calendar indicating all non-settlement days.
>
> I'll check with Bloomberg to see if their is an error on their end.

No, it's probably not an error. It might just be that, being 
denominated in Euro, French bonds settle according to TARGET.

Luigi

> Luigi Ballabio wrote:
>>
>> On Tue, 2008-05-13 at 10:24 +1000, Lecuyer, Fabrice wrote:
>>> I just looked at Bloomberg and they do see those dates only as non
>>> settlement dates. However, I still doubt a french bond can settle on
>>> the 14 of July (Bastille day) for example. Even Belgium has it's
>>> national day as a non-settlement day.
>>
>> Ok, I just had a more careful look at the submitted France calendar.
>> It looks to me it's just the TARGET calendar. Am I wrong?

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Lecuyer, Fabrice | 15 May 01:11

Re: New Calendars

It makes sense. However, aren't belgian bonds also denominated in Euro?
In any case, if bloomberg confirms their data, I back off and apologise
for the mess I created... 

-----Original Message-----
From: quantlib-dev-bounces <at> lists.sourceforge.net
[mailto:quantlib-dev-bounces <at> lists.sourceforge.net] On Behalf Of Luigi
Ballabio
Sent: Thursday, 15 May 2008 5:28 AM
To: MJC1
Cc: quantlib-dev <at> lists.sourceforge.net
Subject: Re: [Quantlib-dev] New Calendars

On May 13, 2008, at 11:17 PM, MJC1 wrote:
> It should be the calendar indicating all non-settlement days.
>
> I'll check with Bloomberg to see if their is an error on their end.

No, it's probably not an error. It might just be that, being denominated
in Euro, French bonds settle according to TARGET.

Luigi

> Luigi Ballabio wrote:
>>
>> On Tue, 2008-05-13 at 10:24 +1000, Lecuyer, Fabrice wrote:
>>> I just looked at Bloomberg and they do see those dates only as non 
>>> settlement dates. However, I still doubt a french bond can settle on

>>> the 14 of July (Bastille day) for example. Even Belgium has it's

(Continue reading)