Merge pull request #852.

Improve Calendar performance
lballabio · Jun 29, 2020 · 0815aef · 0815aef
2 parents 921d0a6 + bade142
commit 0815aef
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Showing 4 changed files with 27 additions and 15 deletions.
diff --git a/Docs/pages/license.docs b/Docs/pages/license.docs
@@ -149,6 +149,8 @@
     Copyright (C) 2019 SoftSolutions! S.r.l.
     Copyright (C) 2019 Wojciech Slusarski
 
+    Copyright (C) 2020 Kline s.r.l.
+    Copyright (C) 2020 Leonardo Arcari
     Copyright (C) 2020 Piotr Siejda
 
 QuantLib includes code taken from Peter Jäckel's book "Monte Carlo

diff --git a/LICENSE.TXT b/LICENSE.TXT
@@ -146,6 +146,8 @@ QuantLib is
     Copyright (C) 2019 SoftSolutions! S.r.l.
     Copyright (C) 2019 Wojciech Slusarski
 
+    Copyright (C) 2020 Kline s.r.l.
+    Copyright (C) 2020 Leonardo Arcari
     Copyright (C) 2020 Piotr Siejda
 
 QuantLib includes code taken from Peter J�ckel's book "Monte Carlo

diff --git a/ql/time/calendar.cpp b/ql/time/calendar.cpp
@@ -5,6 +5,8 @@
  Copyright (C) 2003, 2004, 2005, 2006, 2007 StatPro Italia srl
  Copyright (C) 2004 Jeff Yu
  Copyright (C) 2014 Paolo Mazzocchi
+ Copyright (C) 2020 Leonardo Arcari
+ Copyright (C) 2020 Kline s.r.l.
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -70,7 +72,7 @@ namespace QuantLib {
         if (c == Following || c == ModifiedFollowing 
             || c == HalfMonthModifiedFollowing) {
             while (isHoliday(d1))
-                d1++;
+                ++d1;
             if (c == ModifiedFollowing 
                 || c == HalfMonthModifiedFollowing) {
                 if (d1.month() != d.month()) {
@@ -84,16 +86,16 @@ namespace QuantLib {
             }
         } else if (c == Preceding || c == ModifiedPreceding) {
             while (isHoliday(d1))
-                d1--;
+                --d1;
             if (c == ModifiedPreceding && d1.month() != d.month()) {
                 return adjust(d,Following);
             }
         } else if (c == Nearest) {
             Date d2 = d;
             while (isHoliday(d1) && isHoliday(d2))
             {
-                d1++;
-                d2--;
+                ++d1;
+                --d2;
             }
             if (isHoliday(d1))
                 return d2;
@@ -116,17 +118,17 @@ namespace QuantLib {
             Date d1 = d;
             if (n > 0) {
                 while (n > 0) {
-                    d1++;
+                    ++d1;
                     while (isHoliday(d1))
-                        d1++;
-                    n--;
+                        ++d1;
+                    --n;
                 }
             } else {
                 while (n < 0) {
-                    d1--;
+                    --d1;
                     while(isHoliday(d1))
-                        d1--;
-                    n++;
+                        --d1;
+                    ++n;
                 }
             }
             return d1;
@@ -176,9 +178,9 @@ namespace QuantLib {
             }
 
             if (isBusinessDay(from) && !includeFirst)
-                wd--;
+                --wd;
             if (isBusinessDay(to) && !includeLast)
-                wd--;
+                --wd;
 
             if (from > to)
                 wd = -wd;
@@ -317,5 +319,4 @@ namespace QuantLib {
        }
        return result;
     }
-
 }
diff --git a/ql/time/calendar.hpp b/ql/time/calendar.hpp
@@ -4,6 +4,8 @@
  Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
  Copyright (C) 2003, 2004, 2005, 2006, 2007 StatPro Italia srl
  Copyright (C) 2006 Piter Dias
+ Copyright (C) 2020 Leonardo Arcari
+ Copyright (C) 2020 Kline s.r.l.
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -216,11 +218,13 @@ namespace QuantLib {
 
     inline const std::set<Date>& Calendar::addedHolidays() const {
         QL_REQUIRE(impl_, "no calendar implementation provided");
+
         return impl_->addedHolidays;
     }
 
     inline const std::set<Date>& Calendar::removedHolidays() const {
         QL_REQUIRE(impl_, "no calendar implementation provided");
+
         return impl_->removedHolidays;
     }
 
@@ -233,9 +237,12 @@ namespace QuantLib {
         const Date& _d = d;
 #endif
 
-        if (impl_->addedHolidays.find(_d) != impl_->addedHolidays.end())
+        if (!impl_->addedHolidays.empty() &&
+            impl_->addedHolidays.find(_d) != impl_->addedHolidays.end())
             return false;
-        if (impl_->removedHolidays.find(_d) != impl_->removedHolidays.end())
+
+        if (!impl_->removedHolidays.empty() &&
+            impl_->removedHolidays.find(_d) != impl_->removedHolidays.end())
             return true;
 
         return impl_->isBusinessDay(_d);