s**g
发帖数: 3271 | 1 我们组要做的东西需要一个功能，就是算modfollowing business date, 我google了一
下，发现jquantlib已经把这个实现了，请问jquantlib是不是正确的选择？还有更好的
么？（java based system, 所以觉得用jquantlib jar比较方便）
多谢 |
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w*****e
发帖数: 158 | 2 啥是modfollowing business date？
Jquantlib 没用过。Quantlib 很方便。 不过要注意，有的business calendar 是错的
。也许是我用的Quantlib版本低。 |
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s**g
发帖数: 3271 | 3 就是这个http://www.derivativeslawyer.com/wp0006.html
“Modified Following Business Day Convention”, (or simply “Modified”)
where the date will be the first following day that is a Business Day (i.e.
same as Following Business Day Convention) unless the first following
Business Day is in the next calendar month, in which case that date will be
the first preceding day that is a Business Day. So if the date specified is
“28 February” and the first following Business Day is 1 March, the date
will instead... 阅读全帖 |
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D********n
发帖数: 978 | 4 modified following很简单一个东西。无非就是看一下是不是holiday如果跳到下个月了
就往前跳就是咯。
有看Quantlib的时间自己早在java底下写出来了。 |
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e*****r
发帖数: 700 | 5 看一下quantlib的code就好了，又不是那么多。 |
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