1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2004 Ferdinando Ametrano
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
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/unitedkingdom.hpp>
#include <ql/errors.hpp>
namespace QuantLib {
namespace {
// common rules
bool isBankHoliday(Day d, Weekday w, Month m, Year y) {
return
// first Monday of May (Early May Bank Holiday)
// moved to May 8th in 1995 and 2020 for V.E. day
(d <= 7 && w == Monday && m == May && y != 1995 && y != 2020)
|| (d == 8 && m == May && (y == 1995 || y == 2020))
// last Monday of May (Spring Bank Holiday)
// moved to in 2002, 2012 and 2022 for the Golden, Diamond and Platinum
// Jubilee with an additional holiday
|| (d >= 25 && w == Monday && m == May && y != 2002 && y != 2012 && y != 2022)
|| ((d == 3 || d == 4) && m == June && y == 2002)
|| ((d == 4 || d == 5) && m == June && y == 2012)
|| ((d == 2 || d == 3) && m == June && y == 2022)
// last Monday of August (Summer Bank Holiday)
|| (d >= 25 && w == Monday && m == August)
// April 29th, 2011 only (Royal Wedding Bank Holiday)
|| (d == 29 && m == April && y == 2011)
// September 19th, 2022 only (The Queen's Funeral Bank Holiday)
|| (d == 19 && m == September && y == 2022)
// May 8th, 2023 (King Charles III Coronation Bank Holiday)
|| (d == 8 && m == May && y == 2023)
;
}
}
UnitedKingdom::UnitedKingdom(UnitedKingdom::Market market) {
// all calendar instances on the same market share the same
// implementation instance
static ext::shared_ptr<Calendar::Impl> settlementImpl(
new UnitedKingdom::SettlementImpl);
static ext::shared_ptr<Calendar::Impl> exchangeImpl(
new UnitedKingdom::ExchangeImpl);
static ext::shared_ptr<Calendar::Impl> metalsImpl(
new UnitedKingdom::MetalsImpl);
switch (market) {
case Settlement:
impl_ = settlementImpl;
break;
case Exchange:
impl_ = exchangeImpl;
break;
case Metals:
impl_ = metalsImpl;
break;
default:
QL_FAIL("unknown market");
}
}
bool UnitedKingdom::SettlementImpl::isBusinessDay(const Date& date) const {
Weekday w = date.weekday();
Day d = date.dayOfMonth(), dd = date.dayOfYear();
Month m = date.month();
Year y = date.year();
Day em = easterMonday(y);
if (isWeekend(w)
// New Year's Day (possibly moved to Monday)
|| ((d == 1 || ((d == 2 || d == 3) && w == Monday)) &&
m == January)
// Good Friday
|| (dd == em-3)
// Easter Monday
|| (dd == em)
|| isBankHoliday(d, w, m, y)
// Christmas (possibly moved to Monday or Tuesday)
|| ((d == 25 || (d == 27 && (w == Monday || w == Tuesday)))
&& m == December)
// Boxing Day (possibly moved to Monday or Tuesday)
|| ((d == 26 || (d == 28 && (w == Monday || w == Tuesday)))
&& m == December)
// December 31st, 1999 only
|| (d == 31 && m == December && y == 1999))
return false; // NOLINT(readability-simplify-boolean-expr)
return true;
}
bool UnitedKingdom::ExchangeImpl::isBusinessDay(const Date& date) const {
Weekday w = date.weekday();
Day d = date.dayOfMonth(), dd = date.dayOfYear();
Month m = date.month();
Year y = date.year();
Day em = easterMonday(y);
if (isWeekend(w)
// New Year's Day (possibly moved to Monday)
|| ((d == 1 || ((d == 2 || d == 3) && w == Monday)) &&
m == January)
// Good Friday
|| (dd == em-3)
// Easter Monday
|| (dd == em)
|| isBankHoliday(d, w, m, y)
// Christmas (possibly moved to Monday or Tuesday)
|| ((d == 25 || (d == 27 && (w == Monday || w == Tuesday)))
&& m == December)
// Boxing Day (possibly moved to Monday or Tuesday)
|| ((d == 26 || (d == 28 && (w == Monday || w == Tuesday)))
&& m == December)
// December 31st, 1999 only
|| (d == 31 && m == December && y == 1999))
return false; // NOLINT(readability-simplify-boolean-expr)
return true;
}
bool UnitedKingdom::MetalsImpl::isBusinessDay(const Date& date) const {
Weekday w = date.weekday();
Day d = date.dayOfMonth(), dd = date.dayOfYear();
Month m = date.month();
Year y = date.year();
Day em = easterMonday(y);
if (isWeekend(w)
// New Year's Day (possibly moved to Monday)
|| ((d == 1 || ((d == 2 || d == 3) && w == Monday)) &&
m == January)
// Good Friday
|| (dd == em-3)
// Easter Monday
|| (dd == em)
|| isBankHoliday(d, w, m, y)
// Christmas (possibly moved to Monday or Tuesday)
|| ((d == 25 || (d == 27 && (w == Monday || w == Tuesday)))
&& m == December)
// Boxing Day (possibly moved to Monday or Tuesday)
|| ((d == 26 || (d == 28 && (w == Monday || w == Tuesday)))
&& m == December)
// December 31st, 1999 only
|| (d == 31 && m == December && y == 1999))
return false; // NOLINT(readability-simplify-boolean-expr)
return true;
}
}
|
