/src/quantlib/ql/time/calendars/russia.cpp
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1 | | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
2 | | |
3 | | /* |
4 | | Copyright (C) 2010 StatPro Italia srl |
5 | | Copyright (C) 2015 Dmitri Nesteruk |
6 | | |
7 | | This file is part of QuantLib, a free-software/open-source library |
8 | | for financial quantitative analysts and developers - http://quantlib.org/ |
9 | | |
10 | | QuantLib is free software: you can redistribute it and/or modify it |
11 | | under the terms of the QuantLib license. You should have received a |
12 | | copy of the license along with this program; if not, please email |
13 | | <quantlib-dev@lists.sf.net>. The license is also available online at |
14 | | <https://www.quantlib.org/license.shtml>. |
15 | | |
16 | | This program is distributed in the hope that it will be useful, but WITHOUT |
17 | | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
18 | | FOR A PARTICULAR PURPOSE. See the license for more details. |
19 | | */ |
20 | | |
21 | | #include <ql/time/calendars/russia.hpp> |
22 | | #include <ql/errors.hpp> |
23 | | |
24 | | namespace QuantLib { |
25 | | |
26 | 0 | Russia::Russia(Russia::Market market) { |
27 | | // all calendar instances share the same implementation instance |
28 | 0 | static ext::shared_ptr<Calendar::Impl> settlementImpl( |
29 | 0 | new Russia::SettlementImpl); |
30 | 0 | static ext::shared_ptr<Calendar::Impl> exchangeImpl( |
31 | 0 | new Russia::ExchangeImpl); |
32 | |
|
33 | 0 | switch (market) { |
34 | 0 | case Settlement: |
35 | 0 | impl_ = settlementImpl; |
36 | 0 | break; |
37 | 0 | case MOEX: |
38 | 0 | impl_ = exchangeImpl; |
39 | 0 | break; |
40 | 0 | default: |
41 | 0 | QL_FAIL("unknown market"); |
42 | 0 | } |
43 | 0 | } |
44 | | |
45 | | namespace { |
46 | | |
47 | 0 | bool isExtraHolidaySettlementImpl(Day d, Month month, Year year) { |
48 | 0 | switch (year) { |
49 | 0 | case 2017: |
50 | 0 | switch (month) { |
51 | 0 | case February: return d == 24; |
52 | 0 | case May: return d == 8; |
53 | 0 | case November: return d == 6; |
54 | 0 | default: return false; |
55 | 0 | } |
56 | 0 | case 2018: |
57 | 0 | switch (month) { |
58 | 0 | case March: return d == 9; |
59 | 0 | case April: return d == 30; |
60 | 0 | case May: return d == 2; |
61 | 0 | case June: return d == 11; |
62 | 0 | case December: return d == 31; |
63 | 0 | default: return false; |
64 | 0 | } |
65 | 0 | case 2019: |
66 | 0 | switch (month) { |
67 | 0 | case May: return d == 2 || d == 3 || d == 10; |
68 | 0 | default: return false; |
69 | 0 | } |
70 | 0 | case 2020: |
71 | 0 | switch (month) { |
72 | 0 | case March: return d == 30 || d == 31; |
73 | 0 | case April: return d == 1 || d == 2 || d == 3; |
74 | 0 | case May: return d == 4 || d == 5; |
75 | 0 | default: return false; |
76 | 0 | } |
77 | 0 | default: |
78 | 0 | return false; |
79 | 0 | } |
80 | 0 | } |
81 | | |
82 | | } |
83 | | |
84 | 0 | bool Russia::SettlementImpl::isBusinessDay(const Date& date) const { |
85 | 0 | Weekday w = date.weekday(); |
86 | 0 | Day d = date.dayOfMonth(); |
87 | 0 | Month m = date.month(); |
88 | 0 | Year y = date.year(); |
89 | 0 | if (isWeekend(w) |
90 | | // New Year's holidays |
91 | 0 | || (y <= 2005 && d <= 2 && m == January) |
92 | 0 | || (y >= 2005 && d <= 5 && m == January) |
93 | | // in 2012, the 6th was also a holiday |
94 | 0 | || (y == 2012 && d == 6 && m == January) |
95 | | // Christmas (possibly moved to Monday) |
96 | 0 | || ((d == 7 || ((d == 8 || d == 9) && w == Monday)) && |
97 | 0 | m == January) |
98 | | // Defender of the Fatherland Day (possibly moved to Monday) |
99 | 0 | || ((d == 23 || ((d == 24 || d == 25) && w == Monday)) && |
100 | 0 | m == February) |
101 | | // International Women's Day (possibly moved to Monday) |
102 | 0 | || ((d == 8 || ((d == 9 || d == 10) && w == Monday)) && |
103 | 0 | m == March) |
104 | | // Labour Day (possibly moved to Monday) |
105 | 0 | || ((d == 1 || ((d == 2 || d == 3) && w == Monday)) && |
106 | 0 | m == May) |
107 | | // Victory Day (possibly moved to Monday) |
108 | 0 | || ((d == 9 || ((d == 10 || d == 11) && w == Monday)) && |
109 | 0 | m == May) |
110 | | // Russia Day (possibly moved to Monday) |
111 | 0 | || ((d == 12 || ((d == 13 || d == 14) && w == Monday)) && |
112 | 0 | m == June) |
113 | | // Unity Day (possibly moved to Monday) |
114 | 0 | || ((d == 4 || ((d == 5 || d == 6) && w == Monday)) && |
115 | 0 | m == November)) |
116 | 0 | return false; // NOLINT(readability-simplify-boolean-expr) |
117 | | |
118 | 0 | if (isExtraHolidaySettlementImpl(d,m,y)) |
119 | 0 | return false; |
120 | | |
121 | 0 | return true; |
122 | 0 | } |
123 | | |
124 | | namespace { |
125 | | |
126 | 0 | bool isWorkingWeekend(Day d, Month month, Year year) { |
127 | 0 | switch (year) { |
128 | 0 | case 2012: |
129 | 0 | switch (month) { |
130 | 0 | case March: return d == 11; |
131 | 0 | case April: return d == 28; |
132 | 0 | case May: return d == 5 || d == 12; |
133 | 0 | case June: return d == 9; |
134 | 0 | default: return false; |
135 | 0 | } |
136 | 0 | case 2016: |
137 | 0 | switch (month) |
138 | 0 | { |
139 | 0 | case February: return d == 20; |
140 | 0 | default: return false; |
141 | 0 | } |
142 | 0 | case 2018: |
143 | 0 | switch (month) { |
144 | 0 | case April: return d == 28; |
145 | 0 | case June: return d == 9; |
146 | 0 | case December: return d == 29; |
147 | 0 | default: return false; |
148 | 0 | } |
149 | 0 | default: |
150 | 0 | return false; |
151 | 0 | } |
152 | 0 | } |
153 | | |
154 | 0 | bool isExtraHolidayExchangeImpl(Day d, Month month, Year year) { |
155 | 0 | switch (year) { |
156 | 0 | case 2012: |
157 | 0 | switch (month) { |
158 | 0 | case January: return d == 2; |
159 | 0 | case March: return d == 9; |
160 | 0 | case April: return d == 30; |
161 | 0 | case June: return d == 11; |
162 | 0 | default: return false; |
163 | 0 | } |
164 | 0 | case 2013: |
165 | 0 | switch (month) { |
166 | 0 | case January: return d == 1 || d == 2 || d == 3 |
167 | 0 | || d == 4 || d == 7; |
168 | 0 | default: return false; |
169 | 0 | } |
170 | 0 | case 2014: |
171 | 0 | switch (month) { |
172 | 0 | case January: return d == 1 || d == 2 || d == 3 || d == 7; |
173 | 0 | default: return false; |
174 | 0 | } |
175 | 0 | case 2015: |
176 | 0 | switch (month) { |
177 | 0 | case January: return d == 1 || d == 2 || d == 7; |
178 | 0 | default: return false; |
179 | 0 | } |
180 | 0 | case 2016: |
181 | 0 | switch (month) |
182 | 0 | { |
183 | 0 | case January: return d == 1 || d == 7 || d == 8; |
184 | 0 | case May: return d == 2 || d == 3; |
185 | 0 | case June: return d == 13; |
186 | 0 | case December: return d == 30; |
187 | 0 | default: return false; |
188 | 0 | } |
189 | 0 | case 2017: |
190 | 0 | switch (month) { |
191 | 0 | case January: return d == 2; |
192 | 0 | case May: return d == 8; |
193 | 0 | default: return false; |
194 | 0 | } |
195 | 0 | case 2018: |
196 | 0 | switch (month) { |
197 | 0 | case January: return d == 1 || d == 2 || d == 8; |
198 | 0 | case December: return d == 31; |
199 | 0 | default: return false; |
200 | 0 | } |
201 | 0 | case 2019: |
202 | 0 | switch (month) { |
203 | 0 | case January: return d == 1 || d == 2 || d == 7; |
204 | 0 | case December: return d == 31; |
205 | 0 | default: return false; |
206 | 0 | } |
207 | 0 | case 2020: |
208 | 0 | switch (month) { |
209 | 0 | case January: return d == 1 || d == 2 || d == 7; |
210 | 0 | case February: return d == 24; |
211 | 0 | case June: return d == 24; |
212 | 0 | case July: return d == 1; |
213 | 0 | default: return false; |
214 | 0 | } |
215 | 0 | default: |
216 | 0 | return false; |
217 | 0 | } |
218 | 0 | } |
219 | | |
220 | | } |
221 | | |
222 | 0 | bool Russia::ExchangeImpl::isBusinessDay(const Date& date) const { |
223 | 0 | Weekday w = date.weekday(); |
224 | 0 | Day d = date.dayOfMonth(); |
225 | 0 | Month m = date.month(); |
226 | 0 | Year y = date.year(); |
227 | | |
228 | | // the exchange was formally established in 2011, so data are only |
229 | | // available from 2012 to present |
230 | 0 | if (y < 2012) |
231 | 0 | QL_FAIL("MOEX calendar for the year " << y |
232 | 0 | << " does not exist."); |
233 | | |
234 | 0 | if (isWorkingWeekend(d,m,y)) |
235 | 0 | return true; |
236 | | |
237 | | // Known holidays |
238 | 0 | if (isWeekend(w) |
239 | | // Defender of the Fatherland Day |
240 | 0 | || (d == 23 && m == February) |
241 | | // International Women's Day (possibly moved to Monday) |
242 | 0 | || ((d == 8 || ((d == 9 || d == 10) && w == Monday)) && m == March) |
243 | | // Labour Day |
244 | 0 | || (d == 1 && m == May) |
245 | | // Victory Day (possibly moved to Monday) |
246 | 0 | || ((d == 9 || ((d == 10 || d == 11) && w == Monday)) && m == May) |
247 | | // Russia Day |
248 | 0 | || (d == 12 && m == June) |
249 | | // Unity Day (possibly moved to Monday) |
250 | 0 | || ((d == 4 || ((d == 5 || d == 6) && w == Monday)) |
251 | 0 | && m == November) |
252 | | // New Years Eve |
253 | 0 | || (d == 31 && m == December)) |
254 | 0 | return false; |
255 | | |
256 | 0 | if (isExtraHolidayExchangeImpl(d,m,y)) |
257 | 0 | return false; |
258 | | |
259 | 0 | return true; |
260 | 0 | } |
261 | | |
262 | | } |