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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010 StatPro Italia srl
Copyright (C) 2015 Dmitri Nesteruk
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#include <ql/time/calendars/russia.hpp>
#include <ql/errors.hpp>
namespace QuantLib {
Russia::Russia(Russia::Market market) {
// all calendar instances share the same implementation instance
static ext::shared_ptr<Calendar::Impl> settlementImpl(
new Russia::SettlementImpl);
static ext::shared_ptr<Calendar::Impl> exchangeImpl(
new Russia::ExchangeImpl);
switch (market) {
case Settlement:
impl_ = settlementImpl;
break;
case MOEX:
impl_ = exchangeImpl;
break;
default:
QL_FAIL("unknown market");
}
}
namespace {
bool isExtraHolidaySettlementImpl(Day d, Month month, Year year) {
switch (year) {
case 2017:
switch (month) {
case February: return d == 24;
case May: return d == 8;
case November: return d == 6;
default: return false;
}
case 2018:
switch (month) {
case March: return d == 9;
case April: return d == 30;
case May: return d == 2;
case June: return d == 11;
case December: return d == 31;
default: return false;
}
case 2019:
switch (month) {
case May: return d == 2 || d == 3 || d == 10;
default: return false;
}
case 2020:
switch (month) {
case March: return d == 30 || d == 31;
case April: return d == 1 || d == 2 || d == 3;
case May: return d == 4 || d == 5;
default: return false;
}
default:
return false;
}
}
}
bool Russia::SettlementImpl::isBusinessDay(const Date& date) const {
Weekday w = date.weekday();
Day d = date.dayOfMonth();
Month m = date.month();
Year y = date.year();
if (isWeekend(w)
// New Year's holidays
|| (y <= 2005 && d <= 2 && m == January)
|| (y >= 2005 && d <= 5 && m == January)
// in 2012, the 6th was also a holiday
|| (y == 2012 && d == 6 && m == January)
// Christmas (possibly moved to Monday)
|| ((d == 7 || ((d == 8 || d == 9) && w == Monday)) &&
m == January)
// Defender of the Fatherland Day (possibly moved to Monday)
|| ((d == 23 || ((d == 24 || d == 25) && w == Monday)) &&
m == February)
// International Women's Day (possibly moved to Monday)
|| ((d == 8 || ((d == 9 || d == 10) && w == Monday)) &&
m == March)
// Labour Day (possibly moved to Monday)
|| ((d == 1 || ((d == 2 || d == 3) && w == Monday)) &&
m == May)
// Victory Day (possibly moved to Monday)
|| ((d == 9 || ((d == 10 || d == 11) && w == Monday)) &&
m == May)
// Russia Day (possibly moved to Monday)
|| ((d == 12 || ((d == 13 || d == 14) && w == Monday)) &&
m == June)
// Unity Day (possibly moved to Monday)
|| ((d == 4 || ((d == 5 || d == 6) && w == Monday)) &&
m == November))
return false; // NOLINT(readability-simplify-boolean-expr)
if (isExtraHolidaySettlementImpl(d,m,y))
return false;
return true;
}
namespace {
bool isWorkingWeekend(Day d, Month month, Year year) {
switch (year) {
case 2012:
switch (month) {
case March: return d == 11;
case April: return d == 28;
case May: return d == 5 || d == 12;
case June: return d == 9;
default: return false;
}
case 2016:
switch (month)
{
case February: return d == 20;
default: return false;
}
case 2018:
switch (month) {
case April: return d == 28;
case June: return d == 9;
case December: return d == 29;
default: return false;
}
default:
return false;
}
}
bool isExtraHolidayExchangeImpl(Day d, Month month, Year year) {
switch (year) {
case 2012:
switch (month) {
case January: return d == 2;
case March: return d == 9;
case April: return d == 30;
case June: return d == 11;
default: return false;
}
case 2013:
switch (month) {
case January: return d == 1 || d == 2 || d == 3
|| d == 4 || d == 7;
default: return false;
}
case 2014:
switch (month) {
case January: return d == 1 || d == 2 || d == 3 || d == 7;
default: return false;
}
case 2015:
switch (month) {
case January: return d == 1 || d == 2 || d == 7;
default: return false;
}
case 2016:
switch (month)
{
case January: return d == 1 || d == 7 || d == 8;
case May: return d == 2 || d == 3;
case June: return d == 13;
case December: return d == 30;
default: return false;
}
case 2017:
switch (month) {
case January: return d == 2;
case May: return d == 8;
default: return false;
}
case 2018:
switch (month) {
case January: return d == 1 || d == 2 || d == 8;
case December: return d == 31;
default: return false;
}
case 2019:
switch (month) {
case January: return d == 1 || d == 2 || d == 7;
case December: return d == 31;
default: return false;
}
case 2020:
switch (month) {
case January: return d == 1 || d == 2 || d == 7;
case February: return d == 24;
case June: return d == 24;
case July: return d == 1;
default: return false;
}
default:
return false;
}
}
}
bool Russia::ExchangeImpl::isBusinessDay(const Date& date) const {
Weekday w = date.weekday();
Day d = date.dayOfMonth();
Month m = date.month();
Year y = date.year();
// the exchange was formally established in 2011, so data are only
// available from 2012 to present
if (y < 2012)
QL_FAIL("MOEX calendar for the year " << y
<< " does not exist.");
if (isWorkingWeekend(d,m,y))
return true;
// Known holidays
if (isWeekend(w)
// Defender of the Fatherland Day
|| (d == 23 && m == February)
// International Women's Day (possibly moved to Monday)
|| ((d == 8 || ((d == 9 || d == 10) && w == Monday)) && m == March)
// Labour Day
|| (d == 1 && m == May)
// Victory Day (possibly moved to Monday)
|| ((d == 9 || ((d == 10 || d == 11) && w == Monday)) && m == May)
// Russia Day
|| (d == 12 && m == June)
// Unity Day (possibly moved to Monday)
|| ((d == 4 || ((d == 5 || d == 6) && w == Monday))
&& m == November)
// New Years Eve
|| (d == 31 && m == December))
return false;
if (isExtraHolidayExchangeImpl(d,m,y))
return false;
return true;
}
}
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