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Revise the convention of the KRW-CD and KRW-Koribor #264

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nzmars opened this issue Aug 20, 2024 · 1 comment
Open

Revise the convention of the KRW-CD and KRW-Koribor #264

nzmars opened this issue Aug 20, 2024 · 1 comment

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@nzmars
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nzmars commented Aug 20, 2024

Hello,
I am a risk quant working at a commercial bank in South Korea.

Please revise the definitions for the conventions of KRW-CD and KRW-Koribor traded in South Korea as defined in the QuantExt project. In the Korean market, the settlement day for both CD and Koribor is 1, not 2.
The files to be modified are krwcd.hpp and krwkoribor.hpp.
Thanks.

@nzmars
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nzmars commented Sep 9, 2024

I attached the details of the code I modified.

image

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