calendar class More...

#include <calendar.hpp>

Inheritance diagram for Calendar:

Collaboration diagram for Calendar:

Classes
class	Impl
	abstract base class for calendar implementations More...

class	OrthodoxImpl
	partial calendar implementation More...

class	WesternImpl
	partial calendar implementation More...

Public Member Functions
	Calendar ()=default

Calendar interface
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

Protected Attributes
ext::shared_ptr< Impl >	impl_

Related Functions
(Note that these are not member functions.)
bool	operator== (const Calendar &, const Calendar &)

bool	operator!= (const Calendar &, const Calendar &)

std::ostream &	operator<< (std::ostream &, const Calendar &)

Detailed Description

calendar class

This class provides methods for determining whether a date is a business day or a holiday for a given market, and for incrementing/decrementing a date of a given number of business days.

The Bridge pattern is used to provide the base behavior of the calendar, namely, to determine whether a date is a business day.

A calendar should be defined for specific exchange holiday schedule or for general country holiday schedule. Legacy city holiday schedule calendars will be moved to the exchange/country convention.

Tests:: the methods for adding and removing holidays are tested by inspecting the calendar before and after their invocation.

Examples: BasketLosses.cpp, BermudanSwaption.cpp, Bonds.cpp, CDS.cpp, CVAIRS.cpp, CallableBonds.cpp, ConvertibleBonds.cpp, DiscreteHedging.cpp, EquityOption.cpp, FRA.cpp, FittedBondCurve.cpp, LatentModel.cpp, MulticurveBootstrapping.cpp, and Repo.cpp.

Definition at line 61 of file calendar.hpp.

Constructor & Destructor Documentation

◆ Calendar()

Calendar ( )

default

The default constructor returns a calendar with a null implementation, which is therefore unusable except as a placeholder.

Member Function Documentation

◆ empty()

bool empty ( ) const

Returns whether or not the calendar is initialized.

Definition at line 202 of file calendar.hpp.

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◆ name()

std::string name ( ) const

Returns the name of the calendar.

Warning:: This method is used for output and comparison between calendars. It is not meant to be used for writing switch-on-type code.

Definition at line 206 of file calendar.hpp.

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◆ addedHolidays()

const std::set< Date > & addedHolidays ( ) const

Returns true iff the date is a business day for the given market.

Returns the set of added holidays for the given calendar

Definition at line 211 of file calendar.hpp.

◆ removedHolidays()

const std::set< Date > & removedHolidays ( ) const

Returns the set of removed holidays for the given calendar

Definition at line 217 of file calendar.hpp.

◆ resetAddedAndRemovedHolidays()

void resetAddedAndRemovedHolidays ( )

Clear the set of added and removed holidays

Definition at line 79 of file calendar.cpp.

◆ isBusinessDay()

bool isBusinessDay ( const Date & d ) const

Definition at line 223 of file calendar.hpp.

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◆ isHoliday()

bool isHoliday ( const Date & d ) const

Returns true iff the date is a holiday for the given market.

Definition at line 251 of file calendar.hpp.

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◆ isWeekend()

bool isWeekend ( Weekday w ) const

Returns true iff the weekday is part of the weekend for the given market.

Definition at line 255 of file calendar.hpp.

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◆ isEndOfMonth()

bool isEndOfMonth ( const Date & d ) const

Returns true iff in the given market, the date is on or after the last business day for that month.

Definition at line 243 of file calendar.hpp.

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◆ endOfMonth()

Date endOfMonth ( const Date & d ) const

last business day of the month to which the given date belongs

Definition at line 247 of file calendar.hpp.

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◆ addHoliday()

void addHoliday ( const Date & d )

Adds a date to the set of holidays for the given calendar.

Definition at line 45 of file calendar.cpp.

◆ removeHoliday()

void removeHoliday ( const Date & d )

Removes a date from the set of holidays for the given calendar.

Definition at line 62 of file calendar.cpp.

◆ holidayList()

std::vector< Date > holidayList	(	const Date &	from,
		const Date &	to,
		bool	includeWeekEnds = `false`
	)		const

Returns the holidays between two dates.

Definition at line 277 of file calendar.cpp.

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◆ businessDayList()

std::vector< Date > businessDayList	(	const Date &	from,
		const Date &	to
	)		const

Returns the business days between two dates.

Definition at line 291 of file calendar.cpp.

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◆ adjust()

Date adjust	(	const Date &	d,
		BusinessDayConvention	convention = `Following`
	)		const

Adjusts a non-business day to the appropriate near business day with respect to the given convention.

Examples: BasketLosses.cpp, Bonds.cpp, CDS.cpp, CVAIRS.cpp, ConvertibleBonds.cpp, FittedBondCurve.cpp, LatentModel.cpp, and MulticurveBootstrapping.cpp.

Definition at line 84 of file calendar.cpp.

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◆ advance() [1/2]

Date advance	(	const Date &	d,
		Integer	n,
		TimeUnit	unit,
		BusinessDayConvention	convention = `Following`,
		bool	endOfMonth = `false`
	)		const

Advances the given date of the given number of business days and returns the result.

Note: The input date is not modified.

Examples: BermudanSwaption.cpp, Bonds.cpp, CDS.cpp, CVAIRS.cpp, CallableBonds.cpp, ConvertibleBonds.cpp, FRA.cpp, FittedBondCurve.cpp, Gaussian1dModels.cpp, LatentModel.cpp, and MulticurveBootstrapping.cpp.

Definition at line 130 of file calendar.cpp.

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◆ advance() [2/2]

Date advance	(	const Date &	date,
		const Period &	period,
		BusinessDayConvention	convention = `Following`,
		bool	endOfMonth = `false`
	)		const

Advances the given date as specified by the given period and returns the result.

Note: The input date is not modified.

Definition at line 175 of file calendar.cpp.

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◆ businessDaysBetween()

Date::serial_type businessDaysBetween	(	const Date &	from,
		const Date &	to,
		bool	includeFirst = `true`,
		bool	includeLast = `false`
	)		const

Calculates the number of business days between two given dates and returns the result.

Definition at line 182 of file calendar.cpp.

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Friends And Related Function Documentation

◆ operator==()

bool operator==	(	const Calendar &	,
		const Calendar &
	)

Definition at line 260 of file calendar.hpp.

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◆ operator!=()

bool operator!=	(	const Calendar &	,
		const Calendar &
	)

◆ operator<<()

std::ostream & operator<<	(	std::ostream &	,
		const Calendar &
	)

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Member Data Documentation

◆ impl_

ext::shared_ptr<Impl> impl_

protected

Definition at line 72 of file calendar.hpp.

Classes

Public Member Functions

Protected Attributes

Related Functions

Detailed Description

Constructor & Destructor Documentation

◆ Calendar()

Member Function Documentation

◆ empty()

◆ name()

◆ addedHolidays()

◆ removedHolidays()

◆ resetAddedAndRemovedHolidays()

◆ isBusinessDay()

◆ isHoliday()

◆ isWeekend()

◆ isEndOfMonth()

◆ endOfMonth()

◆ addHoliday()

◆ removeHoliday()

◆ holidayList()

◆ businessDayList()

◆ adjust()

◆ advance() [1/2]

◆ advance() [2/2]

◆ businessDaysBetween()

Friends And Related Function Documentation

◆ operator==()

◆ operator!=()

◆ operator<<()

Member Data Documentation

◆ impl_