Added calendar example

README.md

@@ -125,7 +125,9 @@ individual data providers)
 
 # Coding log
 
-* 05 Jan 2020
+* 08 Jan 2021
+  * Added extra calendar example
+* 05 Jan 2021
   * MarketDataRequest accepts parsing of full month names
 * 28 Dec 2020
   * Spun out Calendar into separate Python script

findatapy/market/market.py

@@ -812,8 +812,11 @@ def get_base_depos(self, start, end, currencies, tenor, cut="NYC", data_source="
             tickers.append("USDFedEffectiveRate")
 
         # For depos there usually isn't a 10AM NYC cut available, so just use TOK data
+        # Also no BGN tends to available for deposits, so use NYC
         if cut == '10AM':
             cut = 'TOK'
+        elif cut == 'BGN':
+            cut = 'NYC'
 
         market_data_request = MarketDataRequest(
             start_date=start, finish_date=end,

findatapy/timeseries/calendar.py

@@ -92,7 +92,7 @@ def _get_full_cal(self, cal):
             holidays_list.append(
                 [self._get_full_cal(cal[0:3]), self._get_full_cal(cal[3:6]), self._get_full_cal(cal[6:9])])
         else:
-            if cal == 'FX':
+            if cal == 'FX' or cal == 'NYX':
                 # Filter for Christmas & New Year's Day
                 for i in range(1999, 2025):
                     holidays_list.append(pd.Timestamp(str(i) + "-12-25"))
@@ -292,11 +292,11 @@ def get_expiry_date_from_horizon_date(self, horizon_date, tenor, cal=None, asset
                 elif tenor_unit == 'Y':
                     tenor_digit = tenor_digit * 12
 
+                cbd = CustomBusinessDay(n=1, holidays=asset_holidays)
+
                 horizon_period_end = horizon_date + CustomBusinessMonthEnd(tenor_digit + 1)
                 horizon_floating = horizon_date + DateOffset(months=tenor_digit)
 
-                cbd = CustomBusinessDay(n=1, holidays=asset_holidays)
-
                 delivery_date = []
 
                 if isinstance(horizon_period_end, pd.Timestamp):
@@ -368,7 +368,9 @@ def get_expiry_date_from_delivery_date(self, delivery_date, cal):
 
         hols = self.get_holidays(cal=cal + 'NYD')
 
-        return delivery_date - CustomBusinessDay(self._get_settlement_T(cal), holidays=hols)
+        # cbd = CustomBusinessDay(1, holidays=self.get_holidays(cal=cal))
+
+        return delivery_date - CustomBusinessDay(self._get_settlement_T(cal), holidays=hols) # - cbd + cbd
 
     def align_to_NY_cut_in_UTC(self, date_time, hour_of_day=10):
 

findatapy_examples/calendar_examples.py

@@ -30,8 +30,9 @@
     # run_example = 2 - get FX delivery dates and FX option expiries for various tenors
     # run_example = 3 - get number of days between pandas DatetimeIndex
     # run_example = 4 - filter time series by EURUSD holidays
+    # run_example = 4 - option expiries for USDJPY
 
-    run_example = 0
+    run_example = 5
 
     if run_example == 1 or run_example == 0:
 
@@ -78,5 +79,12 @@
         print(len(df.index))
         print(len(df_filtered.index))
 
+    if run_example == 5 or run_example == 0:
+        # Get expiry for USDJPY
+
+        # Get 1M expires for these horizon dates - typically would use to get option expiries
+        print(calendar.get_expiry_date_from_horizon_date(
+            pd.to_datetime([pd.Timestamp('26 Nov 2008')]), '1M', cal='USDJPY'))
+