Merge 1e019ea into d5bfae6

lballabio · Jan 29, 2024 · 5efe936 · 5efe936
2 parents d5bfae6 + 1e019ea
commit 5efe936
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Showing 2 changed files with 19 additions and 13 deletions.
diff --git a/ql/time/calendars/unitedstates.cpp b/ql/time/calendars/unitedstates.cpp
@@ -318,9 +318,16 @@ namespace QuantLib {
 
 
     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))
+        // so far (that is, up to 2023 at the time of this change) SOFR never fixed
+        // on Good Friday.  We're extrapolating that pattern.  This might change if
+        // a fixing on Good Friday occurs in future years.
+        const Day dY = date.dayOfYear();
+        const Year y = date.year();
+
+        // Good Friday
+        if (dY == (easterMonday(y) - 3))
             return false;
+
         return GovernmentBondImpl::isBusinessDay(date);
     }
 

diff --git a/test-suite/calendars.cpp b/test-suite/calendars.cpp
@@ -375,17 +375,16 @@ BOOST_AUTO_TEST_CASE(testUSNewYorkStockExchange) {
 }
 
 BOOST_AUTO_TEST_CASE(testSOFR) {
-    BOOST_TEST_MESSAGE("Testing extra non-fixing day for SOFR...");
-
-    auto fedCalendar = UnitedStates(UnitedStates::GovernmentBond);
-    auto testDate = Date(7, April, 2023); // Good Friday 2023 was only a half close but SOFR didn't fix
-
-    if (fedCalendar.isHoliday(testDate))
-        BOOST_ERROR(testDate << " should not be a holiday for " << fedCalendar.name());
-
-    auto sofr = Sofr();
-    if (sofr.isValidFixingDate(testDate))
-        BOOST_ERROR(testDate << " should not be a fixing date for " << sofr.name());
+    BOOST_TEST_MESSAGE("Testing holidays for SOFR...");
+
+    // Good Friday
+    for (const Date goodFriday :
+         {Date(14, April, 2017), Date(30, March, 2018), Date(19, April, 2019),
+          Date(10, April, 2020), Date(2, April, 2021), Date(15, April, 2022), Date(7, April, 2023),
+          Date(29, March, 2024), Date(18, April, 2025), Date(3, April, 2026), Date(26, March, 2027),
+          Date(14, April, 2028), Date(30, March, 2029), Date(19, April, 2030),
+          Date(11, April, 2031)})
+        BOOST_TEST(UnitedStates(UnitedStates::SOFR).isHoliday(goodFriday));
 }
 
 BOOST_AUTO_TEST_CASE(testUSFederalReserveJuneteenth) {