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

Open nzmars opened this issue 6 months ago • 1 comments

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 avatar Aug 20 '24 08:08 nzmars