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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005, 2006, 2007 StatPro Italia srl
Copyright (C) 2004 Jeff Yu
Copyright (C) 2014 Paolo Mazzocchi
Copyright (C) 2020 Leonardo Arcari
Copyright (C) 2020 Kline s.r.l.
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
<https://www.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/calendar.hpp>
#include <ql/errors.hpp>
namespace QuantLib {
namespace {
// Requires: from < to.
Date::serial_type daysBetweenImpl(const Calendar& cal,
const Date& from, const Date& to,
bool includeFirst, bool includeLast) {
auto res = static_cast<Date::serial_type>(includeLast && cal.isBusinessDay(to));
for (Date d = includeFirst ? from : from + 1; d < to; ++d) {
res += static_cast<Date::serial_type>(cal.isBusinessDay(d));
}
return res;
}
}
void Calendar::addHoliday(const Date& d) {
QL_REQUIRE(impl_, "no calendar implementation provided");
#ifdef QL_HIGH_RESOLUTION_DATE
const Date _d(d.dayOfMonth(), d.month(), d.year());
#else
const Date& _d = d;
#endif
// if d was a genuine holiday previously removed, revert the change
impl_->removedHolidays.erase(_d);
// if it's already a holiday, leave the calendar alone.
// Otherwise, add it.
if (impl_->isBusinessDay(_d))
impl_->addedHolidays.insert(_d);
}
void Calendar::removeHoliday(const Date& d) {
QL_REQUIRE(impl_, "no calendar implementation provided");
#ifdef QL_HIGH_RESOLUTION_DATE
const Date _d(d.dayOfMonth(), d.month(), d.year());
#else
const Date& _d = d;
#endif
// if d was an artificially-added holiday, revert the change
impl_->addedHolidays.erase(_d);
// if it's already a business day, leave the calendar alone.
// Otherwise, add it.
if (!impl_->isBusinessDay(_d))
impl_->removedHolidays.insert(_d);
}
void Calendar::resetAddedAndRemovedHolidays() {
impl_->addedHolidays.clear();
impl_->removedHolidays.clear();
}
Date Calendar::adjust(const Date& d,
BusinessDayConvention c) const {
QL_REQUIRE(d != Date(), "null date");
if (c == Unadjusted)
return d;
Date d1 = d;
if (c == Following || c == ModifiedFollowing
|| c == HalfMonthModifiedFollowing) {
while (isHoliday(d1))
++d1;
if (c == ModifiedFollowing
|| c == HalfMonthModifiedFollowing) {
if (d1.month() != d.month()) {
return adjust(d, Preceding);
}
if (c == HalfMonthModifiedFollowing) {
if (d.dayOfMonth() <= 15 && d1.dayOfMonth() > 15) {
return adjust(d, Preceding);
}
}
}
} else if (c == Preceding || c == ModifiedPreceding) {
while (isHoliday(d1))
--d1;
if (c == ModifiedPreceding && d1.month() != d.month()) {
return adjust(d,Following);
}
} else if (c == Nearest) {
Date d2 = d;
while (isHoliday(d1) && isHoliday(d2))
{
++d1;
--d2;
}
if (isHoliday(d1))
return d2;
else
return d1;
} else {
QL_FAIL("unknown business-day convention");
}
return d1;
}
Date Calendar::advance(const Date& d,
Integer n, TimeUnit unit,
BusinessDayConvention c,
bool endOfMonth) const {
QL_REQUIRE(d!=Date(), "null date");
if (n == 0) {
return adjust(d,c);
} else if (unit == Days) {
Date d1 = d;
if (n > 0) {
while (n > 0) {
++d1;
while (isHoliday(d1))
++d1;
--n;
}
} else {
while (n < 0) {
--d1;
while(isHoliday(d1))
--d1;
++n;
}
}
return d1;
} else if (unit == Weeks) {
Date d1 = d + n*unit;
return adjust(d1,c);
} else {
Date d1 = d + n*unit;
// we are sure the unit is Months or Years
if (endOfMonth) {
if (c == Unadjusted) {
// move to the last calendar day if d is the last calendar day
if (Date::isEndOfMonth(d)) return Date::endOfMonth(d1);
} else {
// move to the last business day if d is the last business day
if (isEndOfMonth(d)) return Calendar::endOfMonth(d1);
}
}
return adjust(d1, c);
}
}
Date Calendar::advance(const Date & d,
const Period & p,
BusinessDayConvention c,
bool endOfMonth) const {
return advance(d, p.length(), p.units(), c, endOfMonth);
}
Date::serial_type Calendar::businessDaysBetween(const Date& from,
const Date& to,
bool includeFirst,
bool includeLast) const {
return (from < to) ? daysBetweenImpl(*this, from, to, includeFirst, includeLast) :
(from > to) ? -daysBetweenImpl(*this, to, from, includeLast, includeFirst) :
Date::serial_type(includeFirst && includeLast && isBusinessDay(from));
}
// Western calendars
bool Calendar::WesternImpl::isWeekend(Weekday w) const {
return w == Saturday || w == Sunday;
}
Day Calendar::WesternImpl::easterMonday(Year y) {
static const unsigned char EasterMonday[] = {
98, 90, 103, 95, 114, 106, 91, 111, 102, // 1901-1909
87, 107, 99, 83, 103, 95, 115, 99, 91, 111, // 1910-1919
96, 87, 107, 92, 112, 103, 95, 108, 100, 91, // 1920-1929
111, 96, 88, 107, 92, 112, 104, 88, 108, 100, // 1930-1939
85, 104, 96, 116, 101, 92, 112, 97, 89, 108, // 1940-1949
100, 85, 105, 96, 109, 101, 93, 112, 97, 89, // 1950-1959
109, 93, 113, 105, 90, 109, 101, 86, 106, 97, // 1960-1969
89, 102, 94, 113, 105, 90, 110, 101, 86, 106, // 1970-1979
98, 110, 102, 94, 114, 98, 90, 110, 95, 86, // 1980-1989
106, 91, 111, 102, 94, 107, 99, 90, 103, 95, // 1990-1999
115, 106, 91, 111, 103, 87, 107, 99, 84, 103, // 2000-2009
95, 115, 100, 91, 111, 96, 88, 107, 92, 112, // 2010-2019
104, 95, 108, 100, 92, 111, 96, 88, 108, 92, // 2020-2029
112, 104, 89, 108, 100, 85, 105, 96, 116, 101, // 2030-2039
93, 112, 97, 89, 109, 100, 85, 105, 97, 109, // 2040-2049
101, 93, 113, 97, 89, 109, 94, 113, 105, 90, // 2050-2059
110, 101, 86, 106, 98, 89, 102, 94, 114, 105, // 2060-2069
90, 110, 102, 86, 106, 98, 111, 102, 94, 114, // 2070-2079
99, 90, 110, 95, 87, 106, 91, 111, 103, 94, // 2080-2089
107, 99, 91, 103, 95, 115, 107, 91, 111, 103, // 2090-2099
88, 108, 100, 85, 105, 96, 109, 101, 93, 112, // 2100-2109
97, 89, 109, 93, 113, 105, 90, 109, 101, 86, // 2110-2119
106, 97, 89, 102, 94, 113, 105, 90, 110, 101, // 2120-2129
86, 106, 98, 110, 102, 94, 114, 98, 90, 110, // 2130-2139
95, 86, 106, 91, 111, 102, 94, 107, 99, 90, // 2140-2149
103, 95, 115, 106, 91, 111, 103, 87, 107, 99, // 2150-2159
84, 103, 95, 115, 100, 91, 111, 96, 88, 107, // 2160-2169
92, 112, 104, 95, 108, 100, 92, 111, 96, 88, // 2170-2179
108, 92, 112, 104, 89, 108, 100, 85, 105, 96, // 2180-2189
116, 101, 93, 112, 97, 89, 109, 100, 85, 105 // 2190-2199
};
return EasterMonday[y-1901];
}
// Orthodox calendars
bool Calendar::OrthodoxImpl::isWeekend(Weekday w) const {
return w == Saturday || w == Sunday;
}
Day Calendar::OrthodoxImpl::easterMonday(Year y) {
static const unsigned char EasterMonday[] = {
105, 118, 110, 102, 121, 106, 126, 118, 102, // 1901-1909
122, 114, 99, 118, 110, 95, 115, 106, 126, 111, // 1910-1919
103, 122, 107, 99, 119, 110, 123, 115, 107, 126, // 1920-1929
111, 103, 123, 107, 99, 119, 104, 123, 115, 100, // 1930-1939
120, 111, 96, 116, 108, 127, 112, 104, 124, 115, // 1940-1949
100, 120, 112, 96, 116, 108, 128, 112, 104, 124, // 1950-1959
109, 100, 120, 105, 125, 116, 101, 121, 113, 104, // 1960-1969
117, 109, 101, 120, 105, 125, 117, 101, 121, 113, // 1970-1979
98, 117, 109, 129, 114, 105, 125, 110, 102, 121, // 1980-1989
106, 98, 118, 109, 122, 114, 106, 118, 110, 102, // 1990-1999
122, 106, 126, 118, 103, 122, 114, 99, 119, 110, // 2000-2009
95, 115, 107, 126, 111, 103, 123, 107, 99, 119, // 2010-2019
111, 123, 115, 107, 127, 111, 103, 123, 108, 99, // 2020-2029
119, 104, 124, 115, 100, 120, 112, 96, 116, 108, // 2030-2039
128, 112, 104, 124, 116, 100, 120, 112, 97, 116, // 2040-2049
108, 128, 113, 104, 124, 109, 101, 120, 105, 125, // 2050-2059
117, 101, 121, 113, 105, 117, 109, 101, 121, 105, // 2060-2069
125, 110, 102, 121, 113, 98, 118, 109, 129, 114, // 2070-2079
106, 125, 110, 102, 122, 106, 98, 118, 110, 122, // 2080-2089
114, 99, 119, 110, 102, 115, 107, 126, 118, 103, // 2090-2099
123, 115, 100, 120, 112, 96, 116, 108, 128, 112, // 2100-2109
104, 124, 109, 100, 120, 105, 125, 116, 108, 121, // 2110-2119
113, 104, 124, 109, 101, 120, 105, 125, 117, 101, // 2120-2129
121, 113, 98, 117, 109, 129, 114, 105, 125, 110, // 2130-2139
102, 121, 113, 98, 118, 109, 129, 114, 106, 125, // 2140-2149
110, 102, 122, 106, 126, 118, 103, 122, 114, 99, // 2150-2159
119, 110, 102, 115, 107, 126, 111, 103, 123, 114, // 2160-2169
99, 119, 111, 130, 115, 107, 127, 111, 103, 123, // 2170-2179
108, 99, 119, 104, 124, 115, 100, 120, 112, 103, // 2180-2189
116, 108, 128, 119, 104, 124, 116, 100, 120, 112 // 2190-2199
};
return EasterMonday[y-1901];
}
std::vector<Date> Calendar::holidayList(
const Date& from, const Date& to, bool includeWeekEnds) const {
QL_REQUIRE(to>=from, "'from' date ("
<< from << ") must be equal to or earlier than 'to' date ("
<< to << ")");
std::vector<Date> result;
for (Date d = from; d <= to; ++d) {
if (isHoliday(d) && (includeWeekEnds || !isWeekend(d.weekday())))
result.push_back(d);
}
return result;
}
std::vector<Date> Calendar::businessDayList(
const Date& from, const Date& to) const {
QL_REQUIRE(to>=from, "'from' date ("
<< from << ") must be equal to or earlier than 'to' date ("
<< to << ")");
std::vector<Date> result;
for (Date d = from; d <= to; ++d) {
if (isBusinessDay(d))
result.push_back(d);
}
return result;
}
}
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