unitedstates.hpp

/* -*- 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 StatPro Italia srl
 Copyright (C) 2004 Ferdinando Ametrano
 Copyright (C) 2017 Peter Caspers
 Copyright (C) 2017 Oleg Kulkov
 
 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.
*/
 
#ifndef quantlib_united_states_calendar_hpp
#define quantlib_united_states_calendar_hpp
 
#include <ql/time/calendar.hpp>
 
namespace QuantLib {
 
 
    class UnitedStates : public Calendar {
      private:
        class SettlementImpl : public Calendar::WesternImpl {
          public:
            std::string name() const override { return "US settlement"; }
            bool isBusinessDay(const Date&) const override;
        };
        class LiborImpactImpl final : public SettlementImpl {
          public:
            std::string name() const override { return "US with Libor impact"; }
            bool isBusinessDay(const Date&) const override;
        };
        class NyseImpl final : public Calendar::WesternImpl {
          public:
            std::string name() const override { return "New York stock exchange"; }
            bool isBusinessDay(const Date&) const override;
        };
        class GovernmentBondImpl : public Calendar::WesternImpl {
          public:
            std::string name() const override { return "US government bond market"; }
            bool isBusinessDay(const Date&) const override;
        };
        class SofrImpl final : public GovernmentBondImpl {
          public:
            std::string name() const override { return "SOFR fixing calendar"; }
            bool isBusinessDay(const Date&) const override;
        };
        class NercImpl final : public Calendar::WesternImpl {
          public:
            std::string name() const override {
                return "North American Energy Reliability Council";
            }
            bool isBusinessDay(const Date&) const override;
        };
        class FederalReserveImpl final : public Calendar::WesternImpl {
          public:
            std::string name() const override { return "Federal Reserve Bankwire System"; }
            bool isBusinessDay(const Date&) const override;
        };
      public:
        enum Market { Settlement,     
                      NYSE,           
                      GovernmentBond, 
                      NERC,           
                      LiborImpact,    
                      FederalReserve, 
                      SOFR            
        };
 
        explicit UnitedStates(Market market);
    };
 
}
 
 
#endif