wmr.hpp

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/*
 Copyright (C) 2019 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file wmr.hpp
    \brief WMR calendar - Thomson Reuters QM/Reuters Spot
*/
 
#ifndef quantext_wmr_calendar_hpp
#define quantext_wmr_calendar_hpp
 
#include <ql/time/calendar.hpp>
 
namespace QuantExt {
 
class Wmr : public QuantLib::Calendar {
private:
    class SetImpl : public Calendar::WesternImpl {
    public:
        std::string name() const override { return "Thomson Reuters QM/Reuters Spot"; }
        bool isBusinessDay(const QuantLib::Date&) const override;
    };
 
public:
    enum Market {
        Settlement, //!< generic settlement calendar
    };
    Wmr(Market market = Settlement);
};
 
} // namespace QuantExt
 
#endif