Missing SGSI holiday calendar in standard ReferenceData

#1

Hi,

We have encountered strange issue with SGD-SOR-6M index which is backed by SGSI calendar. It seems standard ReferenceData does not hold any data for it. So trying to do something like:

    IborIndex i = IborIndex.of("SGD-SOR-6M");
    BusinessDayAdjustment bda = BusinessDayAdjustment.of(MODIFIED_FOLLOWING, i.getFixingCalendar());
    bda.adjust(LocalDate.now().plus(Tenor.TENOR_1M), ReferenceData.standard());

Gives an error: Reference data not found for ‘SGSI’ of type ‘HolidayCalendarId’ when finding 'GBLO+SGSI’
Do we know why there is no support for SGSI, while index which uses SGSI is available? Is there any easy way to fix this?

Thank you!

#2

We provide holiday calendar data for evaluation purposes. To do that, we hard code a set of rules for each country in GlobalHolidayCalendars. The set of data we provide is listed here and those indices without holiday data are marked with a star here.

We take that view that we have provided enough data for evaluation purposes, so it is up to users to provide data for those calendars that do not have it (and in general, we would recommend considering a separate external source of holiday data rather than our hard coded data which we do not guarantee to update in a timely manner).

You can provide your own data in META-INF/com/opengamma/strata/config/application/HolidayCalendarData.ini. See this documentation. If you want to, you can also write code to supply holiday data.

Should you wish to provide a PR for holiday calendar data, that would be great. But such data must be determined from original sources, such as government or exchange websites, not from data provided from other holiday calendar vendors.

Hope that helps.

1 Like
#3

Thank you for such detailed answer. That makes sense, we will look what we can do on our side.