Curves on bank-holidays

Hi,

Does anyone have any hints for me for pricing instruments when the valuation date is a non-working day?

For instance, we had an EUR bank holiday yesterday, but I needed to value certain EUR denominated instruments.

The main issue is the EUR curve – which fails to build (requires fixings for swaps).

I “could” set the valuation date to be different for those instruments – but was hoping someone had a neater solution (i.e. have a means whereby the curve doesn’t fail to build).

Cheers,

Simon

Simon Ibbotson

Quantitative Analytics

Capital Markets

Straumur