United States calendars. More...
#include <unitedstates.hpp>
Inheritance diagram for UnitedStates:
Collaboration diagram for UnitedStates:
Classes | |
| class | FederalReserveImpl |
| class | GovernmentBondImpl |
| class | LiborImpactImpl |
| class | NercImpl |
| class | NyseImpl |
| class | SettlementImpl |
| class | SofrImpl |
Public Types | |
| enum | Market { Settlement , NYSE , GovernmentBond , NERC , LiborImpact , FederalReserve , SOFR } |
| US calendars. More... | |
Public Member Functions | |
| UnitedStates (Market market) | |
| Public Member Functions inherited from Calendar | |
| Calendar ()=default | |
| bool | empty () const |
| Returns whether or not the calendar is initialized. More... | |
| std::string | name () const |
| Returns the name of the calendar. More... | |
| const std::set< Date > & | addedHolidays () const |
| const std::set< Date > & | removedHolidays () const |
| void | resetAddedAndRemovedHolidays () |
| bool | isBusinessDay (const Date &d) const |
| bool | isHoliday (const Date &d) const |
| bool | isWeekend (Weekday w) const |
| bool | isEndOfMonth (const Date &d) const |
| Date | endOfMonth (const Date &d) const |
| last business day of the month to which the given date belongs More... | |
| void | addHoliday (const Date &) |
| void | removeHoliday (const Date &) |
| std::vector< Date > | holidayList (const Date &from, const Date &to, bool includeWeekEnds=false) const |
| std::vector< Date > | businessDayList (const Date &from, const Date &to) const |
| Date | adjust (const Date &, BusinessDayConvention convention=Following) const |
| Date | advance (const Date &, Integer n, TimeUnit unit, BusinessDayConvention convention=Following, bool endOfMonth=false) const |
| Date | advance (const Date &date, const Period &period, BusinessDayConvention convention=Following, bool endOfMonth=false) const |
| Date::serial_type | businessDaysBetween (const Date &from, const Date &to, bool includeFirst=true, bool includeLast=false) const |
Additional Inherited Members | |
| Protected Attributes inherited from Calendar | |
| ext::shared_ptr< Impl > | impl_ |
| Related Functions inherited from Calendar | |
| bool | operator== (const Calendar &, const Calendar &) |
| bool | operator!= (const Calendar &, const Calendar &) |
| std::ostream & | operator<< (std::ostream &, const Calendar &) |
Detailed Description
United States calendars.
Public holidays (see https://www.opm.gov/policy-data-oversight/pay-leave/federal-holidays):
- Saturdays
- Sundays
- New Year's Day, January 1st (possibly moved to Monday if actually on Sunday, or to Friday if on Saturday)
- Martin Luther King's birthday, third Monday in January (since 1983)
- Presidents' Day (a.k.a. Washington's birthday), third Monday in February
- Memorial Day, last Monday in May
- Juneteenth, June 19th (moved to Monday if Sunday or Friday if Saturday)
- Independence Day, July 4th (moved to Monday if Sunday or Friday if Saturday)
- Labor Day, first Monday in September
- Columbus Day, second Monday in October
- Veterans' Day, November 11th (moved to Monday if Sunday or Friday if Saturday)
- Thanksgiving Day, fourth Thursday in November
- Christmas, December 25th (moved to Monday if Sunday or Friday if Saturday)
Note that since 2015 Independence Day only impacts Libor if it falls on a weekday (see https://www.theice.com/iba/libor, https://www.theice.com/marketdata/reports/170 and https://www.theice.com/publicdocs/LIBOR_Holiday_Calendar_2015.pdf for the fixing and value date calendars).
Holidays for the stock exchange (data from http://www.nyse.com):
- Saturdays
- Sundays
- New Year's Day, January 1st (possibly moved to Monday if actually on Sunday)
- Martin Luther King's birthday, third Monday in January (since 1998)
- Presidents' Day (a.k.a. Washington's birthday), third Monday in February
- Good Friday
- Memorial Day, last Monday in May
- Independence Day, July 4th (moved to Monday if Sunday or Friday if Saturday)
- Labor Day, first Monday in September
- Thanksgiving Day, fourth Thursday in November
- Presidential election day, first Tuesday in November of election years (until 1980)
- Christmas, December 25th (moved to Monday if Sunday or Friday if Saturday)
- Special historic closings (see http://www.nyse.com/pdfs/closings.pdf)
Holidays for the government bond market (data from http://www.bondmarkets.com):
- Saturdays
- Sundays
- New Year's Day, January 1st (possibly moved to Monday if actually on Sunday)
- Martin Luther King's birthday, third Monday in January (since 1983)
- Presidents' Day (a.k.a. Washington's birthday), third Monday in February
- Good Friday
- Memorial Day, last Monday in May
- Independence Day, July 4th (moved to Monday if Sunday or Friday if Saturday)
- Labor Day, first Monday in September
- Columbus Day, second Monday in October
- Veterans' Day, November 11th (moved to Monday if Sunday or Friday if Saturday)
- Thanksgiving Day, fourth Thursday in November
- Christmas, December 25th (moved to Monday if Sunday or Friday if Saturday)
Holidays for the North American Energy Reliability Council (data from http://www.nerc.com/~oc/offpeaks.html):
- Saturdays
- Sundays
- New Year's Day, January 1st (possibly moved to Monday if actually on Sunday)
- Memorial Day, last Monday in May
- Independence Day, July 4th (moved to Monday if Sunday)
- Labor Day, first Monday in September
- Thanksgiving Day, fourth Thursday in November
- Christmas, December 25th (moved to Monday if Sunday)
Holidays for the Federal Reserve Bankwire System (data from https://www.federalreserve.gov/aboutthefed/k8.htm and https://www.frbservices.org/about/holiday-schedules):
- Saturdays
- Sundays
- New Year's Day, January 1st (possibly moved to Monday if actually on Sunday)
- Martin Luther King's birthday, third Monday in January (since 1983)
- Presidents' Day (a.k.a. Washington's birthday), third Monday in February
- Memorial Day, last Monday in May
- Juneteenth, June 19th (moved to Monday if Sunday)
- Independence Day, July 4th (moved to Monday if Sunday)
- Labor Day, first Monday in September
- Columbus Day, second Monday in October
- Veterans' Day, November 11th (moved to Monday if Sunday)
- Thanksgiving Day, fourth Thursday in November
- Christmas, December 25th (moved to Monday if Sunday)
- Tests:
- the correctness of the returned results is tested against a list of known holidays.
- Examples
- Bonds.cpp, and CallableBonds.cpp.
Definition at line 156 of file unitedstates.hpp.
Member Enumeration Documentation
◆ Market
| enum Market |
US calendars.
| Enumerator | |
|---|---|
| Settlement | generic settlement calendar |
| NYSE | New York stock exchange calendar. |
| GovernmentBond | government-bond calendar |
| NERC | off-peak days for NERC |
| LiborImpact | Libor impact calendar. |
| FederalReserve | Federal Reserve Bankwire System. |
| SOFR | SOFR fixing calendar. |
Definition at line 197 of file unitedstates.hpp.
Constructor & Destructor Documentation
◆ UnitedStates()
|
explicit |
Definition at line 95 of file unitedstates.cpp.