settlement, reset, and maturity dates - help pls

fiarb · September 5th, 2006, 5:43 pm

looking for VBA+Excel, VB, or Java code for determining settlement, reset, maturity dates for Libor and FX transactionscurrencies in question: CHF, GBP, EUR, CAD, AUD, JPY (I have USD holiday calculators in VBA+Excel)thanks

zokidoki · September 7th, 2006, 3:51 pm

I came across this Java library for calculating financial dates. See:http://www.jfin.orgIt appears to be in beta though.

fiarb · September 8th, 2006, 3:15 am

thank you, I will review and post commentsmay take some time

morgdx · January 3rd, 2007, 3:05 pm

I administer http://jfin.org/, it is currently in beta but passes over 120 unit tests (including some created from examples in ISDA documentation).In order to get the date arithmetic library to production release I need to collate a test pack from many different sources, any feedback or test packs would be greatly appreciated, as would general feedback on the library.