businessdayconvention.hpp

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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) 2006 Piter Dias
 Copyright (C) 2014 Paolo Mazzocchi
 
 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
 <http://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.
*/
 
/*! \file businessdayconvention.hpp
    \brief BusinessDayConvention enumeration
*/
 
#ifndef quantlib_business_day_convention_hpp
#define quantlib_business_day_convention_hpp
 
#include <ql/qldefines.hpp>
#include <iosfwd>
 
namespace QuantLib {
 
    //! Business Day conventions
    /*! These conventions specify the algorithm used to adjust a date in case
        it is not a valid business day.
 
        \ingroup datetime
    */
    enum BusinessDayConvention {
        // ISDA
        Following,                   /*!< Choose the first business day after
                                          the given holiday. */
        ModifiedFollowing,           /*!< Choose the first business day after
                                          the given holiday unless it belongs
                                          to a different month, in which case
                                          choose the first business day before
                                          the holiday. */
        Preceding,                   /*!< Choose the first business
                                          day before the given holiday. */
        // NON ISDA
        ModifiedPreceding,           /*!< Choose the first business day before
                                          the given holiday unless it belongs
                                          to a different month, in which case
                                          choose the first business day after
                                          the holiday. */
        Unadjusted,                  /*!< Do not adjust. */
        HalfMonthModifiedFollowing,  /*!< Choose the first business day after
                                          the given holiday unless that day
                                          crosses the mid-month (15th) or the
                                          end of month, in which case choose
                                          the first business day before the
                                          holiday. */
        Nearest                      /*!< Choose the nearest business day 
                                          to the given holiday. If both the
                                          preceding and following business
                                          days are equally far away, default
                                          to following business day. */
    };
 
    /*! \relates BusinessDayConvention */
    std::ostream& operator<<(std::ostream&,
                             BusinessDayConvention);
 
}
 
#endif