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2 answers
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Multicurrency holiday calendar math and combinations

Trade Example I have recently observed a trade which calculated spot (T+2) from Friday 16th June 2023 for a EURUSD FX product and derived the date Tuesday 20th June 2023. In EUR under the target ...
Attack68's user avatar
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2 votes
0 answers
216 views

What is the scope of spot lags and spot dates?

In the context of interest rate derivatives, we often speak of the spot date. But of course, there is not a "the" spot date, because there are multiple spot dates, for example for different ...
Tom Anderson's user avatar
2 votes
1 answer
339 views

Quantlib specify contract duration instead of dates

I use the following code in Python to price American put/call options. It's simple code since I'm new to using Quantlib. I would like to specify the contract duration (i.e. ...
Ruan's user avatar
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1 vote
3 answers
3k views

Fx Currency Pairs Roll over dates

Is NZD/USD the only currency pair with a different value date roll-over time? Where do you see this? The only information I found so far is from http://www.londonfx.co.uk/valdates.html
fersarr's user avatar
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1 vote
3 answers
6k views

A question about dates generation

I am actually trying to strip Markit IR curves, following their specs here : http://www.cdsmodel.com/cdsmodel/assets/cds-model/docs/Interest%20Rate%20Curve%20Specification%20-%20All%20Currencies%20(...
Olórin's user avatar
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1 vote
1 answer
5k views

How to Compute Dates for Bond

I would like to understand how to compute from Maturity Date the Payment Dates of a coupon bond. For example, consider that today I am buying a bond that matures in ...
Nicola's user avatar
  • 13
0 votes
1 answer
10k views

how to convert quarterly data to monthly

Is there any way to convert quarterly data to monthly in excel or preferably in STATA? I Next to that, how can I transform dates in excel so as to be recognized by STATA?
Jay92's user avatar
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2 votes
1 answer
2k views

How to get the IMM dates in Python for a given symbol?

How can I get an IMM date from its 2 character symbol (eg. "U6", "Z8") in python? I have not been able to install the quantlib addin (it's hard if you aren't tech savy), so please don't point me in ...
rvictordelta's user avatar
0 votes
1 answer
1k views

Forex trades: what time zone are trade and value dates specified in?

When receiving a value date of D from the counterparty for a trade in NZD/USD, is D assumed to be date D in Auckland date D in New York date D in UTC date D in some arbitrary time zone ? There are ...
Chris Kline's user avatar
1 vote
1 answer
6k views

What is Prompt Date Structure?

In LME website Prompt Date Structure is explained as this. Why there are prompt dates? LME trading calendar isn't universal to all other calanedars found in the market. So how do "Non-tradable dates ...
bonCodigo's user avatar
  • 523
1 vote
1 answer
173 views

ISDA: Interpreting a date specified as x business days prior to another date with a business day convention of 'NONE'

I've got an interest rate swap, it has a right-to-break with a bermudan exercise schedule. For each exercise, the settlement date is specified as an already-adjusted business day. The "last ...
eddiewould's user avatar