saudiarabia.cpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2004 FIMAT Group
 Copyright (C) 2007, 2011 StatPro Italia srl
 
 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.
*/
 
#include <ql/time/calendars/saudiarabia.hpp>
#include <ql/errors.hpp>
#include <algorithm>
 
namespace QuantLib {
 
    namespace {
 
        bool isTrueWeekend(Date d) {
            // The Saudi weekend was changed from 29th June 2013
            Weekday w = d.weekday();
            return (d < Date(29, June, 2013)) ?
                (w == Thursday || w == Friday) :
                (w == Friday || w == Saturday);
        }
 
        // In 2015 and 2014, the Eid holidays of the Tadawul Exchange
        // have been from Eid-1 to Eid+4
        // Sometimes, slightly longer holidays are observed 
        // But conservatively, we take Eid-1 to Eid+4 as the holiday
 
        // Eid Date    Holiday     Offset    Remarks
        // 2015-09-23    22-27     -1,+4     later extended to 22-28 or -1+5
        // 2015-07-17    18-21     -1,+4
        // 2014-10-05    03-11     -1,+4     because of weekend 03-11 is same as 04-09 
        // 2014-07-28    25-03     -1,+4     because of weekend 25-03 is same as 27-01
        // 2013-10-15    11-19     -2,+4     because of weekend 11-19 is same as 13-19 
        // 2013-08-08    06-12     -2,+4 
        // 2012-10-26    25-03     -1,+5     because of weekend 25-03 is same as 25-31 
        // 2012-08-19    16-24     -1,+4     because of weekend 16-24 is same as 18-23
 
        bool isEidAlAdha(Date d) {
            // Eid al Adha dates taken from:
            // https://en.wikipedia.org/wiki/Eid_al-Adha#Eid_al-Adha_in_the_Gregorian_calendar
            static std::vector<Date> EidAlAdha = {
                Date(7, April, 1998),
                Date(27, March, 1999),
                Date(16, March, 2000),
                Date(5, March, 2001),
                Date(23, February, 2002),
                Date(12, February, 2003),
                Date(1, February, 2004),
                Date(21, January, 2005),
                Date(10, January, 2006),
                Date(31, December, 2006),
                Date(20, December, 2007),
                Date(8, December, 2008),
                Date(27, November, 2009),
                Date(16, November, 2010),
                Date(6, November, 2011),
                Date(26, October, 2012),
                Date(15, October, 2013),
                Date(4, October, 2014),
                Date(24, September, 2015),
                Date(11, September, 2016),
                Date(1, September, 2017),
                Date(23, August, 2018),
                Date(12, August, 2019),
                Date(31, July, 2020),
                Date(20, July, 2021),
                Date(10, July, 2022)
            };
 
            return std::any_of(EidAlAdha.begin(), EidAlAdha.end(),
                               [=](Date p) { return d >= p - 1 && d <= p + 4; });
        }
 
        bool isEidAlFitr(Date d) {
            // Eid al Fitr dates taken from:
            // https://en.wikipedia.org/wiki/Eid_al-Fitr#In_the_Gregorian_calendar
            static std::vector<Date> EidAlFitr = {
                Date(16, Dec, 2001),
                Date(5, Dec, 2002),
                Date(25, Nov, 2003),
                Date(13, Nov, 2004),
                Date(3, Nov, 2005),
                Date(23, Oct, 2006),
                Date(12, Oct, 2007),
                Date(30, Sep, 2008),
                Date(20, Sep, 2009),
                Date(10, Sep, 2010),
                Date(30, Aug, 2011),
                Date(19, Aug, 2012),
                Date(8, Aug, 2013),
                Date(28, Jul, 2014),
                Date(17, Jul, 2015),
                Date(6, Jul, 2016),
                Date(25, Jun, 2017),
                Date(15, Jun, 2018),
                Date(4, Jun, 2019),
                Date(24, May, 2020),
                Date(13, May, 2021),
                Date(2, May, 2022),
                Date(21, Apr, 2023),
                Date(10, Apr, 2024),
                Date(30, Mar, 2025),
                Date(20, Mar, 2026),
                Date(9, Mar, 2027),
                Date(26, Feb, 2028),
                Date(14, Feb, 2029)
            };
 
            return std::any_of(EidAlFitr.begin(), EidAlFitr.end(),
                               [=](Date p) { return d >= p - 1 && d <= p + 4; });
        }
 
    }
 
    SaudiArabia::SaudiArabia(Market market) {
        // all calendar instances share the same implementation instance
        static ext::shared_ptr<Calendar::Impl> tadawulImpl(
                                                new SaudiArabia::TadawulImpl);
        switch (market) {
          case Tadawul:
            impl_ = tadawulImpl;
            break;
          default:
            QL_FAIL("unknown market");
        }
    }
 
    bool SaudiArabia::TadawulImpl::isWeekend(Weekday w) const {
        return w == Friday || w == Saturday;
    }
 
    bool SaudiArabia::TadawulImpl::isBusinessDay(const Date& date) const {
        Day d = date.dayOfMonth();
        Month m = date.month();
        Year y = date.year();
 
        if (isTrueWeekend(date)
            || isEidAlAdha(date)
            || isEidAlFitr(date)
            // National Day
            || (d == 23 && m == September)
            // other one-shot holidays
            || (d == 26 && m == February && y==2011)
            || (d == 19 && m == March && y==2011)
            )
            return false; // NOLINT(readability-simplify-boolean-expr)
        return true;
    }
 
}