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
165
166
167
168
169
170
171
172
173
|
/* -*- 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 {
UnitedKingdom::UnitedKingdom(UnitedKingdom::Market market) {
// all calendar instances on the same market share the same
// implementation instance
static boost::shared_ptr<Calendar::Impl> settlementImpl(
new UnitedKingdom::SettlementImpl);
static boost::shared_ptr<Calendar::Impl> exchangeImpl(
new UnitedKingdom::ExchangeImpl);
static boost::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)
// first Monday of May (Early May Bank Holiday)
|| (d <= 7 && w == Monday && m == May)
// last Monday of May (Spring Bank Holiday)
|| (d >= 25 && w == Monday && m == May && y != 2002 && y != 2012)
// last Monday of August (Summer Bank Holiday)
|| (d >= 25 && w == Monday && m == August)
// 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)
// June 3rd, 2002 only (Golden Jubilee Bank Holiday)
// June 4rd, 2002 only (special Spring Bank Holiday)
|| ((d == 3 || d == 4) && m == June && y == 2002)
// April 29th, 2011 only (Royal Wedding Bank Holiday)
|| (d == 29 && m == April && y == 2011)
// June 4th, 2012 only (Diamond Jubilee Bank Holiday)
// June 5th, 2012 only (Special Spring Bank Holiday)
|| ((d == 4 || d == 5) && m == June && y == 2012)
// December 31st, 1999 only
|| (d == 31 && m == December && y == 1999))
return false;
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)
// first Monday of May (Early May Bank Holiday)
|| (d <= 7 && w == Monday && m == May)
// last Monday of May (Spring Bank Holiday)
|| (d >= 25 && w == Monday && m == May && y != 2002 && y != 2012)
// last Monday of August (Summer Bank Holiday)
|| (d >= 25 && w == Monday && m == August)
// 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)
// June 3rd, 2002 only (Golden Jubilee Bank Holiday)
// June 4rd, 2002 only (special Spring Bank Holiday)
|| ((d == 3 || d == 4) && m == June && y == 2002)
// April 29th, 2011 only (Royal Wedding Bank Holiday)
|| (d == 29 && m == April && y == 2011)
// June 4th, 2012 only (Diamond Jubilee Bank Holiday)
// June 5th, 2012 only (Special Spring Bank Holiday)
|| ((d == 4 || d == 5) && m == June && y == 2012)
// December 31st, 1999 only
|| (d == 31 && m == December && y == 1999))
return false;
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)
// first Monday of May (Early May Bank Holiday)
|| (d <= 7 && w == Monday && m == May)
// last Monday of May (Spring Bank Holiday)
|| (d >= 25 && w == Monday && m == May && y != 2002 && y != 2012)
// last Monday of August (Summer Bank Holiday)
|| (d >= 25 && w == Monday && m == August)
// 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)
// June 3rd, 2002 only (Golden Jubilee Bank Holiday)
// June 4rd, 2002 only (special Spring Bank Holiday)
|| ((d == 3 || d == 4) && m == June && y == 2002)
// April 29th, 2011 only (Royal Wedding Bank Holiday)
|| (d == 29 && m == April && y == 2011)
// June 4th, 2012 only (Diamond Jubilee Bank Holiday)
// June 5th, 2012 only (Special Spring Bank Holiday)
|| ((d == 4 || d == 5) && m == June && y == 2012)
// December 31st, 1999 only
|| (d == 31 && m == December && y == 1999))
return false;
return true;
}
}
|
