unitedstates.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2004, 2005 Ferdinando Ametrano
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl
 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.
*/
 
#include <ql/time/calendars/unitedstates.hpp>
#include <ql/errors.hpp>
 
namespace QuantLib {
 
    namespace {
 
        // a few rules used by multiple calendars
 
        bool isWashingtonBirthday(Day d, Month m, Year y, Weekday w) {
            if (y >= 1971) {
                // third Monday in February
                return (d >= 15 && d <= 21) && w == Monday && m == February;
            } else {
                // February 22nd, possily adjusted
                return (d == 22 || (d == 23 && w == Monday)
                        || (d == 21 && w == Friday)) && m == February;
            }
        }
 
        bool isMemorialDay(Day d, Month m, Year y, Weekday w) {
            if (y >= 1971) {
                // last Monday in May
                return d >= 25 && w == Monday && m == May;
            } else {
                // May 30th, possibly adjusted
                return (d == 30 || (d == 31 && w == Monday)
                        || (d == 29 && w == Friday)) && m == May;
            }
        }
 
        bool isLaborDay(Day d, Month m, Year y, Weekday w) {
            // first Monday in September
            return d <= 7 && w == Monday && m == September;
        }
 
        bool isColumbusDay(Day d, Month m, Year y, Weekday w) {
            // second Monday in October
            return (d >= 8 && d <= 14) && w == Monday && m == October
                && y >= 1971;
        }
 
        bool isVeteransDay(Day d, Month m, Year y, Weekday w) {
            if (y <= 1970 || y >= 1978) {
                // November 11th, adjusted
                return (d == 11 || (d == 12 && w == Monday) ||
                        (d == 10 && w == Friday)) && m == November;
            } else {
                // fourth Monday in October
                return (d >= 22 && d <= 28) && w == Monday && m == October;
            }
        }
 
        bool isVeteransDayNoSaturday(Day d, Month m, Year y, Weekday w) {
            if (y <= 1970 || y >= 1978) {
                // November 11th, adjusted, but no Saturday to Friday
                return (d == 11 || (d == 12 && w == Monday)) && m == November;
            } else {
                // fourth Monday in October
                return (d >= 22 && d <= 28) && w == Monday && m == October;
            }
        }
 
        bool isJuneteenth(Day d, Month m, Year y, Weekday w) {
            // declared in 2021, but only observed by exchanges since 2022
            return (d == 19 || (d == 20 && w == Monday) || (d == 18 && w == Friday))
                && m == June && y >= 2022;
        }
    }
 
    UnitedStates::UnitedStates(UnitedStates::Market market) {
        // all calendar instances on the same market share the same implementation instance
        static auto settlementImpl = ext::make_shared<UnitedStates::SettlementImpl>();
        static auto liborImpactImpl = ext::make_shared<UnitedStates::LiborImpactImpl>();
        static auto nyseImpl = ext::make_shared<UnitedStates::NyseImpl>();
        static auto governmentImpl = ext::make_shared<UnitedStates::GovernmentBondImpl>();
        static auto nercImpl = ext::make_shared<UnitedStates::NercImpl>();
        static auto federalReserveImpl = ext::make_shared<UnitedStates::FederalReserveImpl>();
        static auto sofrImpl = ext::make_shared<UnitedStates::SofrImpl>();
 
        switch (market) {
          case Settlement:
            impl_ = settlementImpl;
            break;
          case LiborImpact:
            impl_ = liborImpactImpl;
            break;
          case NYSE:
            impl_ = nyseImpl;
            break;
          case GovernmentBond:
            impl_ = governmentImpl;
            break;
          case SOFR:
            impl_ = sofrImpl;
            break;
          case NERC:
            impl_ = nercImpl;
            break;
          case FederalReserve:
            impl_ = federalReserveImpl;
            break;
          default:
            QL_FAIL("unknown market");
        }
    }
 
 
    bool UnitedStates::SettlementImpl::isBusinessDay(const Date& date) const {
        Weekday w = date.weekday();
        Day d = date.dayOfMonth();
        Month m = date.month();
        Year y = date.year();
        if (isWeekend(w)
            // New Year's Day (possibly moved to Monday if on Sunday)
            || ((d == 1 || (d == 2 && w == Monday)) && m == January)
            // (or to Friday if on Saturday)
            || (d == 31 && w == Friday && m == December)
            // Martin Luther King's birthday (third Monday in January)
            || ((d >= 15 && d <= 21) && w == Monday && m == January
                && y >= 1983)
            // Washington's birthday (third Monday in February)
            || isWashingtonBirthday(d, m, y, w)
            // Memorial Day (last Monday in May)
            || isMemorialDay(d, m, y, w)
            // Juneteenth (Monday if Sunday or Friday if Saturday)
            || isJuneteenth(d, m, y, w)
            // Independence Day (Monday if Sunday or Friday if Saturday)
            || ((d == 4 || (d == 5 && w == Monday) ||
                 (d == 3 && w == Friday)) && m == July)
            // Labor Day (first Monday in September)
            || isLaborDay(d, m, y, w)
            // Columbus Day (second Monday in October)
            || isColumbusDay(d, m, y, w)
            // Veteran's Day (Monday if Sunday or Friday if Saturday)
            || isVeteransDay(d, m, y, w)
            // Thanksgiving Day (fourth Thursday in November)
            || ((d >= 22 && d <= 28) && w == Thursday && m == November)
            // Christmas (Monday if Sunday or Friday if Saturday)
            || ((d == 25 || (d == 26 && w == Monday) ||
                 (d == 24 && w == Friday)) && m == December))
            return false; // NOLINT(readability-simplify-boolean-expr)
        return true;
    }
 
    bool UnitedStates::LiborImpactImpl::isBusinessDay(const Date& date) const {
        // Since 2015 Independence Day only impacts Libor if it falls
        // on a weekday
        Weekday w = date.weekday();
        Day d = date.dayOfMonth();
        Month m = date.month();
        Year y = date.year();
        if (((d == 5 && w == Monday) ||
            (d == 3 && w == Friday)) && m == July && y >= 2015)
            return true;
        return SettlementImpl::isBusinessDay(date);
    }
 
    bool UnitedStates::NyseImpl::isBusinessDay(const Date& date) const {
        Weekday w = date.weekday();
        Day d = date.dayOfMonth(), dd = date.dayOfYear();
        Month m = date.month();
        Year y = date.year();
        Day em = easterMonday(y);
        if (isWeekend(w)
            // New Year's Day (possibly moved to Monday if on Sunday)
            || ((d == 1 || (d == 2 && w == Monday)) && m == January)
            // Washington's birthday (third Monday in February)
            || isWashingtonBirthday(d, m, y, w)
            // Good Friday
            || (dd == em-3)
            // Memorial Day (last Monday in May)
            || isMemorialDay(d, m, y, w)
            // Juneteenth (Monday if Sunday or Friday if Saturday)
            || isJuneteenth(d, m, y, w)
            // Independence Day (Monday if Sunday or Friday if Saturday)
            || ((d == 4 || (d == 5 && w == Monday) ||
                 (d == 3 && w == Friday)) && m == July)
            // Labor Day (first Monday in September)
            || isLaborDay(d, m, y, w)
            // Thanksgiving Day (fourth Thursday in November)
            || ((d >= 22 && d <= 28) && w == Thursday && m == November)
            // Christmas (Monday if Sunday or Friday if Saturday)
            || ((d == 25 || (d == 26 && w == Monday) ||
                 (d == 24 && w == Friday)) && m == December)
            ) return false;
 
        if (y >= 1998 && (d >= 15 && d <= 21) && w == Monday && m == January)
            // Martin Luther King's birthday (third Monday in January)
            return false;
 
        if ((y <= 1968 || (y <= 1980 && y % 4 == 0)) && m == November
            && d <= 7 && w == Tuesday)
            // Presidential election days
            return false;
 
        // Special closings
        if (// President Bush's Funeral
            (y == 2018 && m == December && d == 5)
            // Hurricane Sandy
            || (y == 2012 && m == October && (d == 29 || d == 30))
            // President Ford's funeral
            || (y == 2007 && m == January && d == 2)
            // President Reagan's funeral
            || (y == 2004 && m == June && d == 11)
            // September 11-14, 2001
            || (y == 2001 && m == September && (11 <= d && d <= 14))
            // President Nixon's funeral
            || (y == 1994 && m == April && d == 27)
            // Hurricane Gloria
            || (y == 1985 && m == September && d == 27)
            // 1977 Blackout
            || (y == 1977 && m == July && d == 14)
            // Funeral of former President Lyndon B. Johnson.
            || (y == 1973 && m == January && d == 25)
            // Funeral of former President Harry S. Truman
            || (y == 1972 && m == December && d == 28)
            // National Day of Participation for the lunar exploration.
            || (y == 1969 && m == July && d == 21)
            // Funeral of former President Eisenhower.
            || (y == 1969 && m == March && d == 31)
            // Closed all day - heavy snow.
            || (y == 1969 && m == February && d == 10)
            // Day after Independence Day.
            || (y == 1968 && m == July && d == 5)
            // June 12-Dec. 31, 1968
            // Four day week (closed on Wednesdays) - Paperwork Crisis
            || (y == 1968 && dd >= 163 && w == Wednesday)
            // Day of mourning for Martin Luther King Jr.
            || (y == 1968 && m == April && d == 9)
            // Funeral of President Kennedy
            || (y == 1963 && m == November && d == 25)
            // Day before Decoration Day
            || (y == 1961 && m == May && d == 29)
            // Day after Christmas
            || (y == 1958 && m == December && d == 26)
            // Christmas Eve
            || ((y == 1954 || y == 1956 || y == 1965)
                && m == December && d == 24)
            ) return false;
 
        return true;
    }
 
 
    bool UnitedStates::GovernmentBondImpl::isBusinessDay(const Date& date) const {
        Weekday w = date.weekday();
        Day d = date.dayOfMonth(), dd = date.dayOfYear();
        Month m = date.month();
        Year y = date.year();
        Day em = easterMonday(y);
        if (isWeekend(w)
            // New Year's Day (possibly moved to Monday if on Sunday)
            || ((d == 1 || (d == 2 && w == Monday)) && m == January)
            // Martin Luther King's birthday (third Monday in January)
            || ((d >= 15 && d <= 21) && w == Monday && m == January
                && y >= 1983)
            // Washington's birthday (third Monday in February)
            || isWashingtonBirthday(d, m, y, w)
            // Good Friday (2015, 2021, 2023 are half day due to NFP/SIFMA;
            // see <https://www.sifma.org/resources/general/holiday-schedule/>)
            || (dd == em-3 && y != 2015 && y != 2021 && y != 2023)
            // Memorial Day (last Monday in May)
            || isMemorialDay(d, m, y, w)
            // Juneteenth (Monday if Sunday or Friday if Saturday)
            || isJuneteenth(d, m, y, w)
            // Independence Day (Monday if Sunday or Friday if Saturday)
            || ((d == 4 || (d == 5 && w == Monday) ||
                 (d == 3 && w == Friday)) && m == July)
            // Labor Day (first Monday in September)
            || isLaborDay(d, m, y, w)
            // Columbus Day (second Monday in October)
            || isColumbusDay(d, m, y, w)
            // Veteran's Day (Monday if Sunday)
            || isVeteransDayNoSaturday(d, m, y, w)
            // Thanksgiving Day (fourth Thursday in November)
            || ((d >= 22 && d <= 28) && w == Thursday && m == November)
            // Christmas (Monday if Sunday or Friday if Saturday)
            || ((d == 25 || (d == 26 && w == Monday) ||
                 (d == 24 && w == Friday)) && m == December))
            return false;
 
        // Special closings
        if (// President Bush's Funeral
            (y == 2018 && m == December && d == 5)
            // Hurricane Sandy
            || (y == 2012 && m == October && (d == 30))
            // President Reagan's funeral
            || (y == 2004 && m == June && d == 11)
            ) return false;
 
        return true;
    }
 
 
    bool UnitedStates::SofrImpl::isBusinessDay(const Date& date) const {
        // Good Friday 2023 was only a half close for SIFMA but SOFR didn't fix
        if (date == Date(7, April, 2023))
            return false;
        return GovernmentBondImpl::isBusinessDay(date);
    }
 
 
    bool UnitedStates::NercImpl::isBusinessDay(const Date& date) const {
        Weekday w = date.weekday();
        Day d = date.dayOfMonth();
        Month m = date.month();
        Year y = date.year();
        if (isWeekend(w)
            // New Year's Day (possibly moved to Monday if on Sunday)
            || ((d == 1 || (d == 2 && w == Monday)) && m == January)
            // Memorial Day (last Monday in May)
            || isMemorialDay(d, m, y, w)
            // Independence Day (Monday if Sunday)
            || ((d == 4 || (d == 5 && w == Monday)) && m == July)
            // Labor Day (first Monday in September)
            || isLaborDay(d, m, y, w)
            // Thanksgiving Day (fourth Thursday in November)
            || ((d >= 22 && d <= 28) && w == Thursday && m == November)
            // Christmas (Monday if Sunday)
            || ((d == 25 || (d == 26 && w == Monday)) && m == December))
            return false; // NOLINT(readability-simplify-boolean-expr)
        return true;
    }
 
 
    bool UnitedStates::FederalReserveImpl::isBusinessDay(const Date& date) const {
        // see https://www.frbservices.org/about/holiday-schedules for details
        Weekday w = date.weekday();
        Day d = date.dayOfMonth();
        Month m = date.month();
        Year y = date.year();
        if (isWeekend(w)
            // New Year's Day (possibly moved to Monday if on Sunday)
            || ((d == 1 || (d == 2 && w == Monday)) && m == January)
            // Martin Luther King's birthday (third Monday in January)
            || ((d >= 15 && d <= 21) && w == Monday && m == January
                && y >= 1983)
            // Washington's birthday (third Monday in February)
            || isWashingtonBirthday(d, m, y, w)
            // Memorial Day (last Monday in May)
            || isMemorialDay(d, m, y, w)
            // Juneteenth (Monday if Sunday or Friday if Saturday)
            || isJuneteenth(d, m, y, w)
            // Independence Day (Monday if Sunday)
            || ((d == 4 || (d == 5 && w == Monday)) && m == July)
            // Labor Day (first Monday in September)
            || isLaborDay(d, m, y, w)
            // Columbus Day (second Monday in October)
            || isColumbusDay(d, m, y, w)
            // Veteran's Day (Monday if Sunday)
            || isVeteransDayNoSaturday(d, m, y, w)
            // Thanksgiving Day (fourth Thursday in November)
            || ((d >= 22 && d <= 28) && w == Thursday && m == November)
            // Christmas (Monday if Sunday)
            || ((d == 25 || (d == 26 && w == Monday)) && m == December))
            return false; // NOLINT(readability-simplify-boolean-expr)
        return true;
    }
 
}