Comments (1)
We primarily model settlement holidays for interest rate derivatives such as swaps. My understanding of the data is that the markets close for settlement on these dates. If you need a calendar for ASX, you would need a separate ID.
from strata.
Related Issues (20)
- CalibrationMeasures: add FX Swap market quote
- DefaultRatesMarketDataLookup ignores ObservableSource HOT 1
- RatesMarketDataLookup constructs CurveIds with no observable source HOT 1
- Split curve calibration into smaller groups
- Correct yield calculation with ex-coupon period
- "No resource files found on the classpath" when using parallelStream() HOT 4
- NormalFormulaRepository: bug in impliedVolatility HOT 1
- Add AMERIBOR overnight index in USD HOT 1
- Possible Convention Issue HOT 4
- Act/Act ICMA Day-Counter HOT 1
- test errors on AArch64, Fedora 33
- Linked (intersection of 2) holiday calendars is always resolved as HolidayCalendars.NO_HOLIDAYS
- Vanilla Swap Price example NPV - doesn't match with c++ QuantLib
- Dependency convergence warning for joda-convert HOT 3
- Date question HOT 1
- Test Smell: it is not a good practice to write the return statement in test cases HOT 4
- Add more function for the support KOFR OvernightIndex Futures
- Test Smell: it is not a good practice for writing return statement in test casr HOT 5
- SwapTradeCsvPlugin: not parsing XCcy ON/ON HOT 1
Recommend Projects
-
React
A declarative, efficient, and flexible JavaScript library for building user interfaces.
-
Vue.js
🖖 Vue.js is a progressive, incrementally-adoptable JavaScript framework for building UI on the web.
-
Typescript
TypeScript is a superset of JavaScript that compiles to clean JavaScript output.
-
TensorFlow
An Open Source Machine Learning Framework for Everyone
-
Django
The Web framework for perfectionists with deadlines.
-
Laravel
A PHP framework for web artisans
-
D3
Bring data to life with SVG, Canvas and HTML. 📊📈🎉
-
Recommend Topics
-
javascript
JavaScript (JS) is a lightweight interpreted programming language with first-class functions.
-
web
Some thing interesting about web. New door for the world.
-
server
A server is a program made to process requests and deliver data to clients.
-
Machine learning
Machine learning is a way of modeling and interpreting data that allows a piece of software to respond intelligently.
-
Visualization
Some thing interesting about visualization, use data art
-
Game
Some thing interesting about game, make everyone happy.
Recommend Org
-
Facebook
We are working to build community through open source technology. NB: members must have two-factor auth.
-
Microsoft
Open source projects and samples from Microsoft.
-
Google
Google ❤️ Open Source for everyone.
-
Alibaba
Alibaba Open Source for everyone
-
D3
Data-Driven Documents codes.
-
Tencent
China tencent open source team.
from strata.