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?