Add the new Brazilian holiday about quantlib HOT 4 CLOSED

With this change we no longer reproduce the coupons in https://www.pentagonotrustee.com.br/Site/DetalhesEmissor?ativo=RISF11&aba=tab-5&tipo=undefined used in one of our test cases. It seems banks are closed but the day is counted for accrual purposes? Maybe we need another sub-calendar for Brazil?

from quantlib.

My understanding is that CME rebooked all affected BRL-CDI swaps. The link above links to the pdf that says:

CME shall adjust all legacy cleared BRL-CDI IRS transactions to account for Black Consciousness Day by updating the: (a) holiday calendar; and (b) fixed rate of the BRL-CDI IRS to contemplate the new holiday.

from quantlib.

Possibly the website you are checking did not implement the update yet? It was announced very recently.

from quantlib.

The new holiday was enacted on 21-Dec-2023, but rates and prices were officially adjusted on 26-Dec-2023. As most of Brazilian Goverment bonds and Exchange Traded IR futures uses the Business252 day count convention, the closing prices of these instruments begin to reflect this new holiday on 26-Dec.

I dont think it is necessary to create a new sub-calendar to Brazil. As far as I can see, adding a new holiday in the "Settlement" calendar (starting on 20-Nov-2024) will do the work.

I am not very familiar with issues in Github, but I think the implementation proposed by @PaulXiCao will fix this issue.

from quantlib.