UnitedStates Class Reference

United States calendars. More...

#include <ql/time/calendars/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)

Tests:

the correctness of the returned results is tested against a list of known holidays.

Examples

Bonds.cpp, and CallableBonds.cpp.

Definition at line 133 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 174 of file unitedstates.hpp.

Constructor & Destructor Documentation

UnitedStates()

UnitedStates ( UnitedStates::Market  market )

explicit

Definition at line 94 of file unitedstates.cpp.