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added china calendar for the year 2024 (#1873)
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@lballabio
lballabio committed Jan 4, 2024
2 parents 72d410d + 07a972a commit 7ca3a94
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Showing 2 changed files with 52 additions and 8 deletions.
24 changes: 18 additions & 6 deletions ql/time/calendars/china.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -95,6 +95,7 @@ namespace QuantLib {
|| (y == 2021 && (d == 11 || d == 12 || d == 15 || d == 16 || d == 17) && m == February)
|| (y == 2022 && ((d == 31 && m == January) || (d <= 4 && m == February)))
|| (y == 2023 && d >= 23 && d <= 27 && m == January)
|| (y == 2024 && (d == 9 || (d >= 12 && d <= 16)) && m == February)
// Ching Ming Festival
|| (y <= 2008 && d == 4 && m == April)
|| (y == 2009 && d == 6 && m == April)
Expand All @@ -112,6 +113,7 @@ namespace QuantLib {
|| (y == 2021 && d == 5 && m == April)
|| (y == 2022 && d >= 4 && d <= 5 && m == April)
|| (y == 2023 && d == 5 && m == April)
|| (y == 2024 && d >= 4 && d <= 5 && m == April)
// Labor Day
|| (y <= 2007 && d >= 1 && d <= 7 && m == May)
|| (y == 2008 && d >= 1 && d <= 2 && m == May)
Expand All @@ -132,6 +134,7 @@ namespace QuantLib {
|| (y == 2021 && (d == 3 || d == 4 || d == 5) && m == May)
|| (y == 2022 && d >= 2 && d <= 4 && m == May)
|| (y == 2023 && d >= 1 && d <= 3 && m == May)
|| (y == 2024 && d >= 1 && d <= 3 && m == May)
// Tuen Ng Festival
|| (y <= 2008 && d == 9 && m == June)
|| (y == 2009 && (d == 28 || d == 29) && m == May)
Expand All @@ -149,6 +152,7 @@ namespace QuantLib {
|| (y == 2021 && d == 14 && m == June)
|| (y == 2022 && d == 3 && m == June)
|| (y == 2023 && d >= 22 && d <= 23 && m == June)
|| (y == 2024 && d == 10 && m == June)
// Mid-Autumn Festival
|| (y <= 2008 && d == 15 && m == September)
|| (y == 2010 && d >= 22 && d <= 24 && m == September)
Expand All @@ -163,6 +167,7 @@ namespace QuantLib {
|| (y == 2021 && (d == 20 || d == 21) && m == September)
|| (y == 2022 && d == 12 && m == September)
|| (y == 2023 && d == 29 && m == September)
|| (y == 2024 && d >= 16 && d <= 17 && m == September)
// National Day
|| (y <= 2007 && d >= 1 && d <= 7 && m == October)
|| (y == 2008 && ((d >= 29 && m == September) ||
Expand All @@ -183,6 +188,7 @@ namespace QuantLib {
|| (y == 2021 && (d == 1 || d == 4 || d == 5 || d == 6 || d == 7) && m == October)
|| (y == 2022 && d >= 3 && d <= 7 && m == October)
|| (y == 2023 && d >= 2 && d <= 6 && m == October)
|| (y == 2024 && ((d >= 1 && d <= 4) || d == 7) && m == October)
// 70th anniversary of the victory of anti-Japaneses war
|| (y == 2015 && d >= 3 && d <= 4 && m == September)
)
Expand All @@ -195,7 +201,7 @@ namespace QuantLib {
}

bool China::IbImpl::isBusinessDay(const Date& date) const {
static const Date working_weekends[] = {
static const std::set<Date> workingWeekends = {
// 2005
Date(5, February, 2005),
Date(6, February, 2005),
Expand Down Expand Up @@ -338,12 +344,18 @@ namespace QuantLib {
Date(6, May, 2023),
Date(25, June, 2023),
Date(7, October, 2023),
Date(8, October, 2023)
Date(8, October, 2023),
// 2024
Date(4, Feb, 2024),
Date(9, Feb, 2024),
Date(18, Feb, 2024),
Date(7, Apr, 2024),
Date(28, Apr, 2024),
Date(11, May, 2024),
Date(14, Sep, 2024),
Date(29, Sep, 2024),
Date(12, October, 2024)
};
static const Size n =
sizeof(working_weekends)/sizeof(working_weekends[0]);
static const std::set<Date> workingWeekends(working_weekends+0,
working_weekends+n);

// If it is already a SSE business day, it must be a IB business day
return sseImpl->isBusinessDay(date) ||
Expand Down
36 changes: 34 additions & 2 deletions test-suite/calendars.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -3177,8 +3177,30 @@ BOOST_AUTO_TEST_CASE(testChinaSSE) {
expectedHol.emplace_back(5, October, 2023);
expectedHol.emplace_back(6, October, 2023);

// China Shanghai Securities Exchange holiday list in the year 2024
expectedHol.emplace_back(1, Jan, 2024);
expectedHol.emplace_back(9, Feb, 2024);
expectedHol.emplace_back(12, Feb, 2024);
expectedHol.emplace_back(13, Feb, 2024);
expectedHol.emplace_back(14, Feb, 2024);
expectedHol.emplace_back(15, Feb, 2024);
expectedHol.emplace_back(16, Feb, 2024);
expectedHol.emplace_back(4, April, 2024);
expectedHol.emplace_back(5, April, 2024);
expectedHol.emplace_back(1, May, 2024);
expectedHol.emplace_back(2, May, 2024);
expectedHol.emplace_back(3, May, 2024);
expectedHol.emplace_back(10, Jun, 2024);
expectedHol.emplace_back(16, Sep, 2024);
expectedHol.emplace_back(17, Sep, 2024);
expectedHol.emplace_back(1, Oct, 2024);
expectedHol.emplace_back(2, Oct, 2024);
expectedHol.emplace_back(3, Oct, 2024);
expectedHol.emplace_back(4, Oct, 2024);
expectedHol.emplace_back(7, Oct, 2024);

Calendar c = China(China::SSE);
std::vector<Date> hol = c.holidayList(Date(1, January, 2014), Date(31, December, 2023));
std::vector<Date> hol = c.holidayList(Date(1, January, 2014), Date(31, December, 2024));

for (Size i = 0; i < std::min<Size>(hol.size(), expectedHol.size()); i++) {
if (hol[i] != expectedHol[i])
Expand Down Expand Up @@ -3276,9 +3298,19 @@ BOOST_AUTO_TEST_CASE(testChinaIB) {
expectedWorkingWeekEnds.emplace_back(7, October, 2023);
expectedWorkingWeekEnds.emplace_back(8, October, 2023);

// China Inter Bank working weekends list in the year 2024
expectedWorkingWeekEnds.emplace_back(4, Feb, 2024);
expectedWorkingWeekEnds.emplace_back(18, Feb, 2024);
expectedWorkingWeekEnds.emplace_back(7, April, 2024);
expectedWorkingWeekEnds.emplace_back(28, April, 2024);
expectedWorkingWeekEnds.emplace_back(11, May, 2024);
expectedWorkingWeekEnds.emplace_back(14, Sep, 2024);
expectedWorkingWeekEnds.emplace_back(29, Sep, 2024);
expectedWorkingWeekEnds.emplace_back(12, October, 2024);

Calendar c = China(China::IB);
Date start(1, Jan, 2014);
Date end(31, Dec, 2023);
Date end(31, Dec, 2024);

Size k = 0;

Expand Down

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