/
unitedstates.hpp
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/
unitedstates.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl
Copyright (C) 2004 Ferdinando Ametrano
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.
*/
/*! \file unitedstates.hpp
\brief US calendars
*/
#ifndef quantlib_united_states_calendar_hpp
#define quantlib_united_states_calendar_hpp
#include <ql/time/calendar.hpp>
namespace QuantLib {
//! United States calendars
/*! Public holidays (see https://www.opm.gov/policy-data-oversight/pay-leave/federal-holidays):
<ul>
<li>Saturdays</li>
<li>Sundays</li>
<li>New Year's Day, January 1st (possibly moved to Monday if
actually on Sunday, or to Friday if on Saturday)</li>
<li>Martin Luther King's birthday, third Monday in January (since
1983)</li>
<li>Presidents' Day (a.k.a. Washington's birthday),
third Monday in February</li>
<li>Memorial Day, last Monday in May</li>
<li>Juneteenth, June 19th (moved to Monday if Sunday or
Friday if Saturday)</li>
<li>Independence Day, July 4th (moved to Monday if Sunday or
Friday if Saturday)</li>
<li>Labor Day, first Monday in September</li>
<li>Columbus Day, second Monday in October</li>
<li>Veterans' Day, November 11th (moved to Monday if Sunday or
Friday if Saturday)</li>
<li>Thanksgiving Day, fourth Thursday in November</li>
<li>Christmas, December 25th (moved to Monday if Sunday or Friday
if Saturday)</li>
</ul>
Note that since 2015 Independence Day only impacts Libor if it
falls on a weekday (see <https://www.theice.com/iba/libor>,
<https://www.theice.com/marketdata/reports/170> and
<https://www.theice.com/publicdocs/LIBOR_Holiday_Calendar_2015.pdf>
for the fixing and value date calendars).
Holidays for the stock exchange (data from http://www.nyse.com):
<ul>
<li>Saturdays</li>
<li>Sundays</li>
<li>New Year's Day, January 1st (possibly moved to Monday if
actually on Sunday)</li>
<li>Martin Luther King's birthday, third Monday in January (since
1998)</li>
<li>Presidents' Day (a.k.a. Washington's birthday),
third Monday in February</li>
<li>Good Friday</li>
<li>Memorial Day, last Monday in May</li>
<li>Independence Day, July 4th (moved to Monday if Sunday or
Friday if Saturday)</li>
<li>Labor Day, first Monday in September</li>
<li>Thanksgiving Day, fourth Thursday in November</li>
<li>Presidential election day, first Tuesday in November of election
years (until 1980)</li>
<li>Christmas, December 25th (moved to Monday if Sunday or Friday
if Saturday)</li>
<li>Special historic closings (see
http://www.nyse.com/pdfs/closings.pdf)</li>
</ul>
Holidays for the government bond market (data from
http://www.bondmarkets.com):
<ul>
<li>Saturdays</li>
<li>Sundays</li>
<li>New Year's Day, January 1st (possibly moved to Monday if
actually on Sunday)</li>
<li>Martin Luther King's birthday, third Monday in January (since
1983)</li>
<li>Presidents' Day (a.k.a. Washington's birthday),
third Monday in February</li>
<li>Good Friday</li>
<li>Memorial Day, last Monday in May</li>
<li>Independence Day, July 4th (moved to Monday if Sunday or
Friday if Saturday)</li>
<li>Labor Day, first Monday in September</li>
<li>Columbus Day, second Monday in October</li>
<li>Veterans' Day, November 11th (moved to Monday if Sunday or
Friday if Saturday)</li>
<li>Thanksgiving Day, fourth Thursday in November</li>
<li>Christmas, December 25th (moved to Monday if Sunday or Friday
if Saturday)</li>
</ul>
Holidays for the North American Energy Reliability Council
(data from http://www.nerc.com/~oc/offpeaks.html):
<ul>
<li>Saturdays</li>
<li>Sundays</li>
<li>New Year's Day, January 1st (possibly moved to Monday if
actually on Sunday)</li>
<li>Memorial Day, last Monday in May</li>
<li>Independence Day, July 4th (moved to Monday if Sunday)</li>
<li>Labor Day, first Monday in September</li>
<li>Thanksgiving Day, fourth Thursday in November</li>
<li>Christmas, December 25th (moved to Monday if Sunday)</li>
</ul>
\ingroup calendars
\test the correctness of the returned results is tested
against a list of known holidays.
*/
class UnitedStates : public Calendar {
private:
class SettlementImpl : public Calendar::WesternImpl {
public:
std::string name() const override { return "US settlement"; }
bool isBusinessDay(const Date&) const override;
};
class LiborImpactImpl : public SettlementImpl {
public:
std::string name() const override { return "US with Libor impact"; }
bool isBusinessDay(const Date&) const override;
};
class NyseImpl : public Calendar::WesternImpl {
public:
std::string name() const override { return "New York stock exchange"; }
bool isBusinessDay(const Date&) const override;
};
class GovernmentBondImpl : public Calendar::WesternImpl {
public:
std::string name() const override { return "US government bond market"; }
bool isBusinessDay(const Date&) const override;
};
class NercImpl : public Calendar::WesternImpl {
public:
std::string name() const override {
return "North American Energy Reliability Council";
}
bool isBusinessDay(const Date&) const override;
};
class FederalReserveImpl : public Calendar::WesternImpl {
public:
std::string name() const override { return "Federal Reserve Bankwire System"; }
bool isBusinessDay(const Date&) const override;
};
public:
//! US calendars
enum Market { Settlement, //!< generic settlement calendar
NYSE, //!< New York stock exchange calendar
GovernmentBond, //!< government-bond calendar
NERC, //!< off-peak days for NERC
LiborImpact, //!< Libor impact calendar
FederalReserve //!< Federal Reserve Bankwire System
};
UnitedStates(Market market = Settlement);
};
}
#endif