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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2004, 2005 Ferdinando Ametrano
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia 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/unitedstates.hpp>
#include <ql/errors.hpp>
namespace QuantLib {
UnitedStates::UnitedStates(UnitedStates::Market market) {
// all calendar instances on the same market share the same
// implementation instance
static boost::shared_ptr<Calendar::Impl> settlementImpl(
new UnitedStates::SettlementImpl);
static boost::shared_ptr<Calendar::Impl> nyseImpl(
new UnitedStates::NyseImpl);
static boost::shared_ptr<Calendar::Impl> governmentImpl(
new UnitedStates::GovernmentBondImpl);
static boost::shared_ptr<Calendar::Impl> nercImpl(
new UnitedStates::NercImpl);
switch (market) {
case Settlement:
impl_ = settlementImpl;
break;
case NYSE:
impl_ = nyseImpl;
break;
case GovernmentBond:
impl_ = governmentImpl;
break;
case NERC:
impl_ = nercImpl;
break;
default:
QL_FAIL("unknown market");
}
}
bool UnitedStates::SettlementImpl::isBusinessDay(const Date& date) const {
Weekday w = date.weekday();
Day d = date.dayOfMonth();
Month m = date.month();
if (isWeekend(w)
// New Year's Day (possibly moved to Monday if on Sunday)
|| ((d == 1 || (d == 2 && w == Monday)) && m == January)
// (or to Friday if on Saturday)
|| (d == 31 && w == Friday && m == December)
// Martin Luther King's birthday (third Monday in January)
|| ((d >= 15 && d <= 21) && w == Monday && m == January)
// Washington's birthday (third Monday in February)
|| ((d >= 15 && d <= 21) && w == Monday && m == February)
// Memorial Day (last Monday in May)
|| (d >= 25 && w == Monday && m == May)
// Independence Day (Monday if Sunday or Friday if Saturday)
|| ((d == 4 || (d == 5 && w == Monday) ||
(d == 3 && w == Friday)) && m == July)
// Labor Day (first Monday in September)
|| (d <= 7 && w == Monday && m == September)
// Columbus Day (second Monday in October)
|| ((d >= 8 && d <= 14) && w == Monday && m == October)
// Veteran's Day (Monday if Sunday or Friday if Saturday)
|| ((d == 11 || (d == 12 && w == Monday) ||
(d == 10 && w == Friday)) && m == November)
// Thanksgiving Day (fourth Thursday in November)
|| ((d >= 22 && d <= 28) && w == Thursday && m == November)
// Christmas (Monday if Sunday or Friday if Saturday)
|| ((d == 25 || (d == 26 && w == Monday) ||
(d == 24 && w == Friday)) && m == December))
return false;
return true;
}
bool UnitedStates::NyseImpl::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 if on Sunday)
|| ((d == 1 || (d == 2 && w == Monday)) && m == January)
// Washington's birthday (third Monday in February)
|| ((d >= 15 && d <= 21) && w == Monday && m == February)
// Good Friday
|| (dd == em-3)
// Memorial Day (last Monday in May)
|| (d >= 25 && w == Monday && m == May)
// Independence Day (Monday if Sunday or Friday if Saturday)
|| ((d == 4 || (d == 5 && w == Monday) ||
(d == 3 && w == Friday)) && m == July)
// Labor Day (first Monday in September)
|| (d <= 7 && w == Monday && m == September)
// Thanksgiving Day (fourth Thursday in November)
|| ((d >= 22 && d <= 28) && w == Thursday && m == November)
// Christmas (Monday if Sunday or Friday if Saturday)
|| ((d == 25 || (d == 26 && w == Monday) ||
(d == 24 && w == Friday)) && m == December)
) return false;
if (y >= 1998) {
if (// Martin Luther King's birthday (third Monday in January)
((d >= 15 && d <= 21) && w == Monday && m == January)
// President Reagan's funeral
|| (y == 2004 && m == June && d == 11)
// September 11, 2001
|| (y == 2001 && m == September && (11 <= d && d <= 14))
// President Ford's funeral
|| (y == 2007 && m == January && d == 2)
) return false;
} else if (y <= 1980) {
if (// Presidential election days
((y % 4 == 0) && m == November && d <= 7 && w == Tuesday)
// 1977 Blackout
|| (y == 1977 && m == July && d == 14)
// Funeral of former President Lyndon B. Johnson.
|| (y == 1973 && m == January && d == 25)
// Funeral of former President Harry S. Truman
|| (y == 1972 && m == December && d == 28)
// National Day of Participation for the lunar exploration.
|| (y == 1969 && m == July && d == 21)
// Funeral of former President Eisenhower.
|| (y == 1969 && m == March && d == 31)
// Closed all day - heavy snow.
|| (y == 1969 && m == February && d == 10)
// Day after Independence Day.
|| (y == 1968 && m == July && d == 5)
// June 12-Dec. 31, 1968
// Four day week (closed on Wednesdays) - Paperwork Crisis
|| (y == 1968 && dd >= 163 && w == Wednesday)
) return false;
} else {
if (// Nixon's funeral
(y == 1994 && m == April && d == 27)
) return false;
}
return true;
}
bool UnitedStates::GovernmentBondImpl::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 if on Sunday)
|| ((d == 1 || (d == 2 && w == Monday)) && m == January)
// Martin Luther King's birthday (third Monday in January)
|| ((d >= 15 && d <= 21) && w == Monday && m == January)
// Washington's birthday (third Monday in February)
|| ((d >= 15 && d <= 21) && w == Monday && m == February)
// Good Friday
|| (dd == em-3)
// Memorial Day (last Monday in May)
|| (d >= 25 && w == Monday && m == May)
// Independence Day (Monday if Sunday or Friday if Saturday)
|| ((d == 4 || (d == 5 && w == Monday) ||
(d == 3 && w == Friday)) && m == July)
// Labor Day (first Monday in September)
|| (d <= 7 && w == Monday && m == September)
// Columbus Day (second Monday in October)
|| ((d >= 8 && d <= 14) && w == Monday && m == October)
// Veteran's Day (Monday if Sunday or Friday if Saturday)
|| ((d == 11 || (d == 12 && w == Monday) ||
(d == 10 && w == Friday)) && m == November)
// Thanksgiving Day (fourth Thursday in November)
|| ((d >= 22 && d <= 28) && w == Thursday && m == November)
// Christmas (Monday if Sunday or Friday if Saturday)
|| ((d == 25 || (d == 26 && w == Monday) ||
(d == 24 && w == Friday)) && m == December))
return false;
return true;
}
bool UnitedStates::NercImpl::isBusinessDay(const Date& date) const {
Weekday w = date.weekday();
Day d = date.dayOfMonth();
Month m = date.month();
if (isWeekend(w)
// New Year's Day (possibly moved to Monday if on Sunday)
|| ((d == 1 || (d == 2 && w == Monday)) && m == January)
// Memorial Day (last Monday in May)
|| (d >= 25 && w == Monday && m == May)
// Independence Day (Monday if Sunday)
|| ((d == 4 || (d == 5 && w == Monday)) && m == July)
// Labor Day (first Monday in September)
|| (d <= 7 && w == Monday && m == September)
// Thanksgiving Day (fourth Thursday in November)
|| ((d >= 22 && d <= 28) && w == Thursday && m == November)
// Christmas (Monday if Sunday)
|| ((d == 25 || (d == 26 && w == Monday)) && m == December))
return false;
return true;
}
}
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