/* -*- 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 . The license is also available online at . 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 #include namespace QuantLib { UnitedStates::UnitedStates(UnitedStates::Market market) { // all calendar instances on the same market share the same // implementation instance static boost::shared_ptr settlementImpl( new UnitedStates::SettlementImpl); static boost::shared_ptr nyseImpl( new UnitedStates::NyseImpl); static boost::shared_ptr governmentImpl( new UnitedStates::GovernmentBondImpl); static boost::shared_ptr 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) // Reagan's funeral || (y == 2004 && m == June && d == 11) // September 11, 2001 || (y == 2001 && m == September && (11 <= d && d <= 14)) ) 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; } }