Do not use c++ extension

- call the stram operator directly
- also move code inside businessdayconvention instead of calendar,
  more consistent with QuantLib
- also expose two more conventions: Nearest and
  HalfMonthModifiedFollowing

quantlib/indexes/ibor_index.pyx

@@ -8,7 +8,7 @@ from quantlib.time.date cimport Period
 from quantlib.time.daycounter cimport DayCounter
 from quantlib.currency.currency cimport Currency
 from quantlib.time.calendar cimport Calendar
-from quantlib.time._calendar cimport ModifiedFollowing, BusinessDayConvention
+from quantlib.time._businessdayconvention cimport ModifiedFollowing, BusinessDayConvention
 from quantlib.termstructures.yields.yield_term_structure cimport YieldTermStructure
 cimport quantlib._index as _in
 cimport quantlib.indexes._ibor_index as _ib

quantlib/instruments/bonds.pyx

@@ -18,10 +18,9 @@ from libcpp cimport bool
 from quantlib.handle cimport Handle, shared_ptr, RelinkableHandle
 from quantlib.instruments.instrument cimport Instrument
 from quantlib.pricingengines.engine cimport PricingEngine
-from quantlib.time._calendar cimport BusinessDayConvention
+from quantlib.time._businessdayconvention cimport BusinessDayConvention, Following
 from quantlib.time._daycounter cimport DayCounter as QlDayCounter
 from quantlib.time._schedule cimport Schedule as QlSchedule
-from quantlib.time._calendar cimport Following
 from quantlib.time.calendar cimport Calendar
 from quantlib.time.date cimport Date, date_from_qldate
 from quantlib.time.schedule cimport Schedule

quantlib/instruments/swap.pyx

@@ -24,14 +24,14 @@ from libcpp cimport bool
 from quantlib.handle cimport Handle, shared_ptr, RelinkableHandle
 from quantlib.instruments.instrument cimport Instrument
 from quantlib.pricingengines.engine cimport PricingEngine
-from quantlib.time._calendar cimport BusinessDayConvention
+from quantlib.time._businessdayconvention cimport BusinessDayConvention
 from quantlib.time._daycounter cimport DayCounter as QlDayCounter
 from quantlib.time._schedule cimport Schedule as QlSchedule
 from quantlib.time.calendar cimport Calendar
 from quantlib.time.date cimport Date, date_from_qldate
 from quantlib.time.schedule cimport Schedule
 from quantlib.time.daycounter cimport DayCounter
-from quantlib.time.calendar import Following
+from quantlib.time.businessdayconvention import Following
 from quantlib.cashflow cimport Leg
 from quantlib.indexes.ibor_index cimport IborIndex
 from quantlib.cashflow cimport SimpleLeg, leg_items

quantlib/mlab/fixed_income.py

@@ -15,7 +15,7 @@
 from quantlib.compounding import Compounded
 
 from quantlib.pricingengines.bond import DiscountingBondEngine
-from quantlib.time.calendar import (
+from quantlib.time.businessdayconvention import (
     Unadjusted, ModifiedFollowing, Following)
 
 from quantlib.time.calendars.null_calendar import NullCalendar

quantlib/termstructures/yields/bond_helpers.pyx

@@ -15,7 +15,7 @@ from quantlib.quotes cimport Quote
 from quantlib.time.date cimport Date
 from quantlib.time.schedule cimport Schedule
 from quantlib.time.daycounter cimport DayCounter
-from quantlib.time._calendar cimport Following
+from quantlib.time._businessdayconvention cimport Following
 from quantlib.termstructures.yields.rate_helpers cimport RateHelper
 
 

quantlib/termstructures/yields/rate_helpers.pyx

@@ -16,7 +16,8 @@ cimport quantlib._quote as _qt
 cimport quantlib.indexes._ibor_index as _ib
 cimport quantlib.indexes._swap_index as _si
 from quantlib.time._period cimport Frequency, Days
-from quantlib.time._calendar cimport BusinessDayConvention
+from quantlib.time._businessdayconvention cimport (
+    BusinessDayConvention, ModifiedFollowing )
 from quantlib.time.date cimport date_from_qldate
 from quantlib.quotes cimport Quote, SimpleQuote
 from quantlib.time.calendar cimport Calendar
@@ -25,8 +26,6 @@ from quantlib.time.date cimport Period, Date
 from quantlib.indexes.ibor_index cimport IborIndex
 from quantlib.indexes.swap_index cimport SwapIndex
 
-from quantlib.time.calendar import ModifiedFollowing
-
 cdef class RateHelper:
 
     def __cinit__(self):

quantlib/test/test_bond_helpers.py

@@ -4,9 +4,7 @@
 from quantlib.termstructures.yields.bond_helpers import (
     FixedRateBondHelper)
 from quantlib.time.api import (
-    Annual, Backward, Date, DayCounter, Following, Period, Schedule, TARGET)
-from quantlib.time.calendar import ModifiedFollowing
-
+    Annual, Backward, Date, DayCounter, ModifiedFollowing, Following, Period, Schedule, TARGET)
 
 class TestFixedRateBondHelper(unittest.TestCase):
 

quantlib/test/test_bondfunctions.py

@@ -5,9 +5,6 @@
     FixedRateBond, ZeroCouponBond
 )
 from quantlib.pricingengines.bond import DiscountingBondEngine
-from quantlib.time.calendar import (
-    TARGET, Unadjusted, ModifiedFollowing, Following
-)
 from quantlib.time.calendars.united_states import (
     UnitedStates, GOVERNMENTBOND
 )

quantlib/test/test_bonds.py

@@ -4,9 +4,6 @@
     FixedRateBond, ZeroCouponBond, FloatingRateBond
 )
 from quantlib.pricingengines.bond import DiscountingBondEngine
-from quantlib.time.calendar import (
-    Unadjusted, ModifiedFollowing, Following
-)
 from quantlib.time.calendars.united_states import (
     UnitedStates, GOVERNMENTBOND, SETTLEMENT
 )
@@ -26,7 +23,7 @@
 )
 from quantlib.indexes.libor import Libor
 from quantlib.currency.api import USDCurrency
-from quantlib.time.api import Months
+from quantlib.time.api import Months, Unadjusted, Following, ModifiedFollowing
 from quantlib.cashflow import Leg, SimpleLeg
 from quantlib.cashflows.coupon_pricer import IborCouponPricer, BlackIborCouponPricer, set_coupon_pricer
 from quantlib.termstructures.volatility.optionlet.optionlet_volatility_structure import ConstantOptionletVolatility, OptionletVolatilityStructure

quantlib/test/test_bucketanalysis.py

@@ -3,7 +3,6 @@
 
 from quantlib.instruments.bonds import (FixedRateBond)
 from quantlib.pricingengines.bond import DiscountingBondEngine
-from quantlib.time.calendar import ( Unadjusted, ModifiedFollowing, Following)
 from quantlib.time.calendars.target import TARGET
 from quantlib.time.calendars.united_states import ( UnitedStates, GOVERNMENTBOND)
 from quantlib.currency.api import USDCurrency

quantlib/test/test_business_day_convention.py

@@ -1,6 +1,6 @@
 from .unittest_tools import unittest
 
-from quantlib.time.calendar import (
+from quantlib.time.businessdayconvention import (
     Following, Preceding)
 
 from quantlib.time.businessdayconvention import BusinessDayConvention

quantlib/test/test_calendar.py

@@ -1,8 +1,8 @@
 from .unittest_tools import unittest
 
-from quantlib.time.calendar import (
+from quantlib.time.calendar import holiday_list
+from quantlib.time.businessdayconvention import (
     Following, ModifiedFollowing, ModifiedPreceding, Preceding,
-    holiday_list
 )
 from quantlib.time.calendars.target import TARGET
 from quantlib.time.calendars.united_kingdom import UnitedKingdom, EXCHANGE

quantlib/test/test_cython_bug.pyx

@@ -8,8 +8,9 @@ from quantlib.time._date cimport (
     Date as QlDate, Date_todaysDate, Jul, August, September, Date_endOfMonth
 )
 from quantlib.time._period cimport Years, Period, Annual, Days
-from quantlib.time._calendar cimport (
-    Calendar, Unadjusted, ModifiedFollowing, Following
+from quantlib.time._calendar cimport Calendar
+from quantlib.time._businessdayconvention cimport (
+        Unadjusted, ModifiedFollowing, Following
 )
 from quantlib.time.calendars._target cimport TARGET
 from quantlib.time._schedule cimport Schedule, Backward

quantlib/test/test_schedule.py

@@ -2,7 +2,7 @@
 from quantlib.time.date import (
     Date, Period, Jan, Dec, Weeks, Sep, Months, Nov
 )
-from quantlib.time.calendar import Following, Preceding
+from quantlib.time.businessdayconvention import Following, Preceding
 from quantlib.time.calendars.united_kingdom import UnitedKingdom
 from quantlib.time.schedule import Schedule, Twentieth, Forward, Backward
 

quantlib/time/_businessdayconvention.pxd

@@ -0,0 +1,16 @@
+from libcpp.string cimport string
+
+cdef extern from "ql/time/businessdayconvention.hpp" namespace "QuantLib":
+    cdef enum BusinessDayConvention:
+        Following
+        ModifiedFollowing
+        Preceding
+        ModifiedPreceding
+        Unadjusted
+        HalfMonthModifiedFollowing
+        Nearest
+
+cdef extern from "<sstream>" namespace "std":
+    cdef cppclass stringstream:
+        stringstream& operator<<(BusinessDayConvention)
+        string str()

quantlib/time/_calendar.pxd

@@ -6,27 +6,7 @@ from libcpp.vector cimport vector
 
 from _date cimport Date, Weekday
 from _period cimport Period, TimeUnit
-
-
-cdef extern from 'ql/time/businessdayconvention.hpp' namespace 'QuantLib':
-    cdef enum BusinessDayConvention:
-        #ISDA
-        Following          # Choose the first business day after
-                           #     the given holiday. */
-        ModifiedFollowing  # Choose the first business day after
-                           #     the given holiday unless it belongs
-                           #     to a different month, in which case
-                           #     choose the first business day before
-                           #     the holiday. */
-        Preceding          # Choose the first business day before
-                           #     the given holiday. */
-        # NON ISDA
-        ModifiedPreceding  # Choose the first business day before
-                           #     the given holiday unless it belongs
-                           #     to a different month, in which case
-                           #     choose the first business day after
-                           #     the holiday. */
-        Unadjusted         #  Do not adjust. */
+from _businessdayconvention cimport BusinessDayConvention
 
 cdef extern from 'ql/time/calendar.hpp' namespace 'QuantLib':
 

quantlib/time/api.py

@@ -8,9 +8,10 @@
 """
 
 from .businessdayconvention import BusinessDayConvention
-from .calendar import (
-    Calendar, ModifiedFollowing, Following, ModifiedPreceding,
-    Preceding, Unadjusted, holiday_list
+from .calendar import Calendar, holiday_list
+from .businessdayconvention import (
+    ModifiedFollowing, Following, ModifiedPreceding,
+    Preceding, Unadjusted, HalfMonthModifiedFollowing, Nearest
     )
 from .calendar_registry import calendar_from_name
 from .calendars.jointcalendar import JointCalendar

quantlib/time/businessdayconvention.pyx

@@ -6,18 +6,20 @@
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 """
+cimport _businessdayconvention as _bdc
 
-from libcpp.string cimport string
-cimport quantlib.time._calendar as _ca
+cdef public enum:
+    Following = _bdc.Following
+    ModifiedFollowing = _bdc.ModifiedFollowing
+    Preceding = _bdc.Preceding
+    ModifiedPreceding = _bdc.ModifiedPreceding
+    Unadjusted = _bdc.Unadjusted
+    HalfMonthModifiedFollowing = _bdc.HalfMonthModifiedFollowing
+    Nearest = _bdc.Nearest
 
-cdef extern from "businessdayconvention_support_code.hpp" namespace "QL":
-    string repr(int b) except +
-
-
-# BusinessDayConvention:
-cdef QL_BDC = [_ca.Following, _ca.ModifiedFollowing,
-               _ca.Preceding, _ca.ModifiedPreceding,
-               _ca.Unadjusted]
+cdef QL_BDC = [Following, ModifiedFollowing,
+               Preceding, ModifiedPreceding, Unadjusted,
+               HalfMonthModifiedFollowing, Nearest]
 
 _BDC_DICT = {str(BusinessDayConvention(v)).replace(" ",""):v for v in QL_BDC}
 
@@ -34,9 +36,9 @@ cdef class BusinessDayConvention(int):
         return BusinessDayConvention(_BDC_DICT[name])
 
     def __str__(self):
-        cdef string res = repr(int(self))
-        return res.decode('utf-8')
+        cdef _bdc.stringstream ss
+        ss << <_bdc.BusinessDayConvention>(self)
+        return ss.str().decode()
 
     def __repr__(self):
-        cdef string res = repr(int(self))
-        return 'Business Day Convention: {}'.format(res.decode('utf-8'))
+        return 'BusinessDayConvention({})'.format(str(self).replace(" ", ""))

quantlib/time/calendar.pyx

@@ -15,14 +15,7 @@ cimport quantlib.time._calendar as _calendar
 cimport quantlib.time._date as _date
 cimport quantlib.time.date as date
 cimport quantlib.time._period as _period
-
-# BusinessDayConvention:
-cdef public enum BusinessDayConvention:
-    Following         = _calendar.Following
-    ModifiedFollowing = _calendar.ModifiedFollowing
-    Preceding         = _calendar.Preceding
-    ModifiedPreceding = _calendar.ModifiedPreceding
-    Unadjusted        = _calendar.Unadjusted
+from quantlib.time._businessdayconvention cimport Following
 
 cdef class Calendar:
     '''This class provides methods for determining whether a date is a

quantlib/time/schedule.pyx

@@ -4,6 +4,7 @@ from libcpp.vector cimport vector
 cimport _schedule
 cimport _date
 cimport _calendar
+from _businessdayconvention cimport Following
 
 from calendar cimport DateList, Calendar
 from date cimport date_from_qldate, Date, Period
@@ -42,8 +43,8 @@ cdef class Schedule:
 
     def __init__(self, Date effective_date, Date termination_date,
             Period tenor, Calendar calendar,
-            int business_day_convention=_calendar.Following,
-            int termination_date_convention=_calendar.Following,
+            int business_day_convention=Following,
+            int termination_date_convention=Following,
            int date_generation_rule=Forward, end_of_month=False):
 
         self._thisptr = new _schedule.Schedule(

setup.py

@@ -150,15 +150,6 @@ def collect_extensions():
         **kwargs
     )
 
-    business_day_convention_extension = Extension(
-        name='quantlib.time.businessdayconvention',
-        sources=[
-            'quantlib/time/businessdayconvention.pyx',
-            'cpp_layer/businessdayconvention_support_code.cpp'
-        ],
-        **kwargs
-    )
-
     multipath_extension = Extension(
         name='quantlib.sim.simulate',
         sources=[
@@ -193,7 +184,6 @@ def collect_extensions():
         mc_vanilla_engine_extension,
         settings_extension,
         test_extension,
-        business_day_convention_extension
     ]
 
     cython_extension_directories = []