/src/quantlib/ql/time/calendars/israel.cpp
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1 | | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
2 | | |
3 | | /* |
4 | | Copyright (C) 2015 Paolo Mazzocchi |
5 | | Copyright (C) 2015 Riccardo Barone |
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/israel.hpp> |
22 | | #include <ql/errors.hpp> |
23 | | |
24 | | namespace QuantLib { |
25 | | |
26 | | namespace { |
27 | | |
28 | 0 | bool isPurim(const Date& d) { |
29 | 0 | static std::set<Date> knownDates = { |
30 | 0 | {21, March, 2000}, |
31 | 0 | {9, March, 2001}, |
32 | 0 | {26, February, 2002}, |
33 | 0 | {18, March, 2003}, |
34 | 0 | {7, March, 2004}, |
35 | 0 | {25, March, 2005}, |
36 | 0 | {14, March, 2006}, |
37 | 0 | {4, March, 2007}, |
38 | 0 | {21, March, 2008}, |
39 | 0 | {10, March, 2009}, |
40 | 0 | {28, February, 2010}, |
41 | 0 | {20, March, 2011}, |
42 | 0 | {8, March, 2012}, |
43 | 0 | {24, February, 2013}, |
44 | 0 | {16, March, 2014}, |
45 | 0 | {05, March, 2015}, |
46 | 0 | {24, March, 2016}, |
47 | 0 | {12, March, 2017}, |
48 | 0 | {1, March, 2018}, |
49 | 0 | {21, March, 2019}, |
50 | 0 | {10, March, 2020}, |
51 | 0 | {26, February, 2021}, |
52 | 0 | {17, March, 2022}, |
53 | 0 | {7, March, 2023}, |
54 | 0 | {24, March, 2024}, |
55 | 0 | {14, March, 2025}, |
56 | 0 | {3, March, 2026}, |
57 | 0 | {23, March, 2027}, |
58 | 0 | {12, March, 2028}, |
59 | 0 | {1, March, 2029}, |
60 | 0 | {19, March, 2030}, |
61 | 0 | {9, March, 2031}, |
62 | 0 | {26, February, 2032}, |
63 | 0 | {15, March, 2033}, |
64 | 0 | {5, March, 2034}, |
65 | 0 | {25, March, 2035}, |
66 | 0 | {13, March, 2036}, |
67 | 0 | {1, March, 2037}, |
68 | 0 | {21, March, 2038}, |
69 | 0 | {10, March, 2039}, |
70 | 0 | {28, February, 2040}, |
71 | 0 | {17, March, 2041}, |
72 | 0 | {6, March, 2042}, |
73 | 0 | {26, March, 2043}, |
74 | 0 | {13, March, 2044}, |
75 | 0 | {3, March, 2045}, |
76 | 0 | {22, March, 2046}, |
77 | 0 | {12, March, 2047}, |
78 | 0 | {28, February, 2048}, |
79 | 0 | {18, March, 2049}, |
80 | 0 | {8, March, 2050}, |
81 | 0 | }; |
82 | 0 | return knownDates.find(d) != knownDates.end(); |
83 | 0 | } |
84 | | |
85 | 0 | bool isPassover1st(const Date& d) { |
86 | 0 | static std::set<Date> knownDates = { |
87 | 0 | {20, April, 2000}, |
88 | 0 | {8, April, 2001}, |
89 | 0 | {28, March, 2002}, |
90 | 0 | {17, April, 2003}, |
91 | 0 | {6, April, 2004}, |
92 | 0 | {24, April, 2005}, |
93 | 0 | {13, April, 2006}, |
94 | 0 | {3, April, 2007}, |
95 | 0 | {20, April, 2008}, |
96 | 0 | {9, April, 2009}, |
97 | 0 | {30, March, 2010}, |
98 | 0 | {19, April, 2011}, |
99 | 0 | {7, April, 2012}, |
100 | 0 | {26, March, 2013}, |
101 | 0 | {15, April, 2014}, |
102 | 0 | {4, April, 2015}, |
103 | 0 | {23, April, 2016}, |
104 | 0 | {11, April, 2017}, |
105 | 0 | {31, March, 2018}, |
106 | 0 | {20, April, 2019}, |
107 | 0 | {9, April, 2020}, |
108 | 0 | {28, March, 2021}, |
109 | 0 | {16, April, 2022}, |
110 | 0 | {6 , April, 2023}, |
111 | 0 | {23, April, 2024}, |
112 | 0 | {13, April, 2025}, |
113 | 0 | {2 , April, 2026}, |
114 | 0 | {22, April, 2027}, |
115 | 0 | {11, April, 2028}, |
116 | 0 | {31, March, 2029}, |
117 | 0 | {18, April, 2030}, |
118 | 0 | {8, April, 2031}, |
119 | 0 | {27, March, 2032}, |
120 | 0 | {14, April, 2033}, |
121 | 0 | {4, April, 2034}, |
122 | 0 | {24, April, 2035}, |
123 | 0 | {12, April, 2036}, |
124 | 0 | {31, March, 2037}, |
125 | 0 | {20, April, 2038}, |
126 | 0 | {9, April, 2039}, |
127 | 0 | {29, March, 2040}, |
128 | 0 | {16, April, 2041}, |
129 | 0 | {5, April, 2042}, |
130 | 0 | {25, April, 2043}, |
131 | 0 | {12, April, 2044}, |
132 | 0 | {2, April, 2045}, |
133 | 0 | {21, April, 2046}, |
134 | 0 | {11, April, 2047}, |
135 | 0 | {29, March, 2048}, |
136 | 0 | {17, April, 2049}, |
137 | 0 | {7, April, 2050}, |
138 | 0 | }; |
139 | 0 | return knownDates.find(d) != knownDates.end(); |
140 | 0 | } |
141 | | |
142 | 0 | bool isIndependenceDay(const Date& d) { |
143 | 0 | static std::set<Date> knownDates = { |
144 | 0 | {10, May, 2000}, |
145 | 0 | {26, April, 2001}, |
146 | 0 | {17, April, 2002}, |
147 | 0 | {7, May, 2003}, |
148 | 0 | {27, April, 2004}, |
149 | 0 | {12, May, 2005}, |
150 | 0 | {3, May, 2006}, |
151 | 0 | {24, April, 2007}, |
152 | 0 | {8, May, 2008}, |
153 | 0 | {29, April, 2009}, |
154 | 0 | {20, April, 2010}, |
155 | 0 | {10, May, 2011}, |
156 | 0 | {26, April, 2012}, |
157 | 0 | {16, April, 2013}, |
158 | 0 | {6, May, 2014}, |
159 | 0 | {23, April, 2015}, |
160 | 0 | {12, May, 2016}, |
161 | 0 | {2, May, 2017}, |
162 | 0 | {19, April, 2018}, |
163 | 0 | {9, May, 2019}, |
164 | 0 | {29, April, 2020}, |
165 | 0 | {15, April, 2021}, |
166 | 0 | {5, May, 2022}, |
167 | 0 | {26, April, 2023}, |
168 | 0 | {14, May, 2024}, |
169 | 0 | {1, May, 2025}, |
170 | 0 | {22, April, 2026}, |
171 | 0 | {12, May, 2027}, |
172 | 0 | {2, May, 2028}, |
173 | 0 | {19, April, 2029}, |
174 | 0 | {8, May, 2030}, |
175 | 0 | {29, April, 2031}, |
176 | 0 | {15, April, 2032}, |
177 | 0 | {4, May, 2033}, |
178 | 0 | {25, April, 2034}, |
179 | 0 | {15, May, 2035}, |
180 | 0 | {1, May, 2036}, |
181 | 0 | {21, April, 2037}, |
182 | 0 | {10, May, 2038}, |
183 | 0 | {28, April, 2039}, |
184 | 0 | {18, April, 2040}, |
185 | 0 | {7, May, 2041}, |
186 | 0 | {24, April, 2042}, |
187 | 0 | {14, May, 2043}, |
188 | 0 | {3, May, 2044}, |
189 | 0 | {20, April, 2045}, |
190 | 0 | {10, May, 2046}, |
191 | 0 | {1, May, 2047}, |
192 | 0 | {16, April, 2048}, |
193 | 0 | {6, May, 2049}, |
194 | 0 | {27, April, 2050}, |
195 | 0 | }; |
196 | 0 | return knownDates.find(d) != knownDates.end(); |
197 | 0 | } |
198 | | |
199 | 0 | bool isMemorialDay(const Date& d) { |
200 | 0 | return isIndependenceDay(d+1); |
201 | 0 | } |
202 | | |
203 | 0 | bool isShavuot(const Date& d) { |
204 | 0 | static std::set<Date> knownDates = { |
205 | 0 | {9, June, 2000}, |
206 | 0 | {28, May, 2001}, |
207 | 0 | {17, May, 2002}, |
208 | 0 | {6, June, 2003}, |
209 | 0 | {26, May, 2004}, |
210 | 0 | {13, June, 2005}, |
211 | 0 | {2, June, 2006}, |
212 | 0 | {23, May, 2007}, |
213 | 0 | {9, June, 2008}, |
214 | 0 | {29, May, 2009}, |
215 | 0 | {19, May, 2010}, |
216 | 0 | {8, June, 2011}, |
217 | 0 | {27, May, 2012}, |
218 | 0 | {15, May, 2013}, |
219 | 0 | {4, June, 2014}, |
220 | 0 | {24, May, 2015}, |
221 | 0 | {12, June, 2016}, |
222 | 0 | {31, May, 2017}, |
223 | 0 | {20, May, 2018}, |
224 | 0 | {9, June, 2019}, |
225 | 0 | {29, May, 2020}, |
226 | 0 | {17, May, 2021}, |
227 | 0 | {5, June, 2022}, |
228 | 0 | {26, May, 2023}, |
229 | 0 | {12, June, 2024}, |
230 | 0 | {2, June, 2025}, |
231 | 0 | {22, May, 2026}, |
232 | 0 | {11, June, 2027}, |
233 | 0 | {31, May, 2028}, |
234 | 0 | {20, May, 2029}, |
235 | 0 | {7, June, 2030}, |
236 | 0 | {28, May, 2031}, |
237 | 0 | {16, May, 2032}, |
238 | 0 | {3, June, 2033}, |
239 | 0 | {24, May, 2034}, |
240 | 0 | {13, June, 2035}, |
241 | 0 | {1, June, 2036}, |
242 | 0 | {20, May, 2037}, |
243 | 0 | {9, June, 2038}, |
244 | 0 | {29, May, 2039}, |
245 | 0 | {18, May, 2040}, |
246 | 0 | {5, June, 2041}, |
247 | 0 | {25, May, 2042}, |
248 | 0 | {14, June, 2043}, |
249 | 0 | {1, June, 2044}, |
250 | 0 | {22, May, 2045}, |
251 | 0 | {10, June, 2046}, |
252 | 0 | {31, May, 2047}, |
253 | 0 | {18, May, 2048}, |
254 | 0 | {6, June, 2049}, |
255 | 0 | {27, May, 2050}, |
256 | 0 | }; |
257 | 0 | return knownDates.find(d) != knownDates.end(); |
258 | 0 | } |
259 | | |
260 | 0 | bool isFastDay(const Date& d) { |
261 | 0 | static std::set<Date> knownDates = { |
262 | 0 | {10, August, 2000}, |
263 | 0 | {29, July, 2001}, |
264 | 0 | {18, July, 2002}, |
265 | 0 | {7, August, 2003}, |
266 | 0 | {27, July, 2004}, |
267 | 0 | {14, August, 2005}, |
268 | 0 | {3, August, 2006}, |
269 | 0 | {24, July, 2007}, |
270 | 0 | {10, August, 2008}, |
271 | 0 | {30, July, 2009}, |
272 | 0 | {20, July, 2010}, |
273 | 0 | {9, August, 2011}, |
274 | 0 | {29, July, 2012}, |
275 | 0 | {16, July, 2013}, |
276 | 0 | {5, August, 2014}, |
277 | 0 | {26, July, 2015}, |
278 | 0 | {14, August, 2016}, |
279 | 0 | {1, August, 2017}, |
280 | 0 | {22, July, 2018}, |
281 | 0 | {11, August, 2019}, |
282 | 0 | {30, July, 2020}, |
283 | 0 | {18, July, 2021}, |
284 | 0 | {7, August, 2022}, |
285 | 0 | {27, July, 2023}, |
286 | 0 | {13, August, 2024}, |
287 | 0 | {3, August, 2025}, |
288 | 0 | {23, July, 2026}, |
289 | 0 | {12, August, 2027}, |
290 | 0 | {1, August, 2028}, |
291 | 0 | {22, July, 2029}, |
292 | 0 | {8, August, 2030}, |
293 | 0 | {29, July, 2031}, |
294 | 0 | {18, July, 2032}, |
295 | 0 | {4, August, 2033}, |
296 | 0 | {25, July, 2034}, |
297 | 0 | {14, August, 2035}, |
298 | 0 | {3, August, 2036}, |
299 | 0 | {21, July, 2037}, |
300 | 0 | {10, August, 2038}, |
301 | 0 | {31, July, 2039}, |
302 | 0 | {19, July, 2040}, |
303 | 0 | {6, August, 2041}, |
304 | 0 | {27, July, 2042}, |
305 | 0 | {16, August, 2043}, |
306 | 0 | {2, August, 2044}, |
307 | 0 | {23, July, 2045}, |
308 | 0 | {12, August, 2046}, |
309 | 0 | {1, August, 2047}, |
310 | 0 | {19, July, 2048}, |
311 | 0 | {8, August, 2049}, |
312 | 0 | {28, July, 2050}, |
313 | 0 | }; |
314 | 0 | return knownDates.find(d) != knownDates.end(); |
315 | 0 | } |
316 | | |
317 | 0 | bool isNewYearsDay(const Date& d) { |
318 | 0 | static std::set<Date> knownDates = { |
319 | 0 | {30, September, 2000}, |
320 | 0 | {17, September, 2001}, |
321 | 0 | {7, September, 2002}, |
322 | 0 | {27, September, 2003}, |
323 | 0 | {16, September, 2004}, |
324 | 0 | {4, October, 2005}, |
325 | 0 | {23, September, 2006}, |
326 | 0 | {13, September, 2007}, |
327 | 0 | {30, September, 2008}, |
328 | 0 | {19, September, 2009}, |
329 | 0 | {9, September, 2010}, |
330 | 0 | {29, September, 2011}, |
331 | 0 | {17, September, 2012}, |
332 | 0 | {5, September, 2013}, |
333 | 0 | {25, September, 2014}, |
334 | 0 | {14, September, 2015}, |
335 | 0 | {3, October, 2016}, |
336 | 0 | {21, September, 2017}, |
337 | 0 | {10, September, 2018}, |
338 | 0 | {30, September, 2019}, |
339 | 0 | {19, September, 2020}, |
340 | 0 | {7, September, 2021}, |
341 | 0 | {26, September, 2022}, |
342 | 0 | {16, September, 2023}, |
343 | 0 | {3, October, 2024}, |
344 | 0 | {23, September, 2025}, |
345 | 0 | {12, September, 2026}, |
346 | 0 | {2, October, 2027}, |
347 | 0 | {21, September, 2028}, |
348 | 0 | {10, September, 2029}, |
349 | 0 | {28, September, 2030}, |
350 | 0 | {18, September, 2031}, |
351 | 0 | {6, September, 2032}, |
352 | 0 | {24, September, 2033}, |
353 | 0 | {14, September, 2034}, |
354 | 0 | {4, October, 2035}, |
355 | 0 | {22, September, 2036}, |
356 | 0 | {10, September, 2037}, |
357 | 0 | {30, September, 2038}, |
358 | 0 | {19, September, 2039}, |
359 | 0 | {8, September, 2040}, |
360 | 0 | {26, September, 2041}, |
361 | 0 | {15, September, 2042}, |
362 | 0 | {5, October, 2043}, |
363 | 0 | {22, September, 2044}, |
364 | 0 | {12, September, 2045}, |
365 | 0 | {1, October, 2046}, |
366 | 0 | {21, September, 2047}, |
367 | 0 | {8, September, 2048}, |
368 | 0 | {27, September, 2049}, |
369 | 0 | {17, September, 2050}, |
370 | 0 | }; |
371 | 0 | return knownDates.find(d) != knownDates.end(); |
372 | 0 | } |
373 | | |
374 | 0 | bool isYomKippur(const Date& d) { |
375 | 0 | return isNewYearsDay(d-9); |
376 | 0 | } |
377 | | |
378 | 0 | bool isSukkot(const Date& d) { |
379 | 0 | return isYomKippur(d-5); |
380 | 0 | } |
381 | | |
382 | 0 | bool isSimchatTorah(const Date& d) { |
383 | 0 | return isSukkot(d-7); |
384 | 0 | } |
385 | | |
386 | | } |
387 | | |
388 | | |
389 | | class Israel::TelAvivImpl final : public Calendar::Impl { |
390 | | public: |
391 | 0 | std::string name() const override { return "Tel Aviv stock exchange"; } |
392 | | bool isWeekend(Weekday) const override; |
393 | | bool isBusinessDay(const Date&) const override; |
394 | | }; |
395 | | |
396 | | class Israel::ShirImpl final : public Calendar::WesternImpl { |
397 | | public: |
398 | 0 | std::string name() const override { return "SHIR fixing calendar"; } |
399 | | bool isBusinessDay(const Date&) const override; |
400 | | }; |
401 | | |
402 | 0 | Israel::Israel(Israel::Market market) { |
403 | | // all calendar instances share the same implementation instance |
404 | 0 | static auto telAvivImpl = ext::make_shared<Israel::TelAvivImpl>(); |
405 | 0 | static auto shirImpl = ext::make_shared<Israel::ShirImpl>(); |
406 | 0 | switch (market) { |
407 | 0 | case Settlement: |
408 | 0 | case TASE: |
409 | 0 | impl_ = telAvivImpl; |
410 | 0 | break; |
411 | 0 | case SHIR: |
412 | 0 | impl_ = shirImpl; |
413 | 0 | break; |
414 | 0 | default: |
415 | 0 | QL_FAIL("unknown market"); |
416 | 0 | } |
417 | 0 | } |
418 | | |
419 | 0 | bool Israel::TelAvivImpl::isWeekend(Weekday w) const { |
420 | 0 | return w == Friday || w == Saturday; |
421 | 0 | } |
422 | | |
423 | 0 | bool Israel::TelAvivImpl::isBusinessDay(const Date& date) const { |
424 | 0 | Weekday w = date.weekday(); |
425 | 0 | Year y = date.year(); |
426 | |
|
427 | 0 | if (isWeekend(w) |
428 | 0 | || isPurim(date) |
429 | 0 | || (y <= 2020 && isPassover1st(date+1)) // Eve of Passover, until 2020 |
430 | 0 | || isPassover1st(date) |
431 | 0 | || isPassover1st(date-5) // Eve of Passover VII, until 2020 |
432 | 0 | || isPassover1st(date-6) // Passover VII |
433 | 0 | || isMemorialDay(date) |
434 | 0 | || isIndependenceDay(date) |
435 | 0 | || (y <= 2020 && isShavuot(date+1)) // Eve of Shavuot, until 2020 |
436 | 0 | || isShavuot(date) |
437 | 0 | || isFastDay(date) |
438 | 0 | || (y <= 2019 && isNewYearsDay(date+1)) // Eve of new year, until 2019 |
439 | 0 | || isNewYearsDay(date) |
440 | 0 | || isNewYearsDay(date-1) // 2nd day of new year |
441 | 0 | || isYomKippur(date+1) // Eve of Yom Kippur |
442 | 0 | || isYomKippur(date) |
443 | 0 | || isSukkot(date+1) // Eve of Sukkot |
444 | 0 | || isSukkot(date) |
445 | 0 | || isSimchatTorah(date+1) // Eve of Simchat Torah |
446 | 0 | || isSimchatTorah(date)) |
447 | 0 | return false; // NOLINT(readability-simplify-boolean-expr) |
448 | | |
449 | 0 | return true; |
450 | 0 | } |
451 | | |
452 | 0 | bool Israel::ShirImpl::isBusinessDay(const Date& date) const { |
453 | 0 | Weekday w = date.weekday(); |
454 | 0 | Day d = date.dayOfMonth(); |
455 | 0 | Day dd = date.dayOfYear(); |
456 | 0 | Month m = date.month(); |
457 | 0 | Year y = date.year(); |
458 | |
|
459 | 0 | if (isWeekend(w) |
460 | 0 | || isPurim(date) |
461 | 0 | || isPurim(date-1) // Purim (Jerusalem) |
462 | 0 | || isPassover1st(date+1) // Eve of Passover |
463 | 0 | || isPassover1st(date) |
464 | 0 | || isPassover1st(date-6) // Last day of Passover |
465 | 0 | || isIndependenceDay(date) |
466 | 0 | || isShavuot(date) |
467 | 0 | || isFastDay(date) |
468 | 0 | || isNewYearsDay(date+1) // Eve of new year, until 2019 |
469 | 0 | || isNewYearsDay(date) |
470 | 0 | || isNewYearsDay(date-1) // 2nd day of new year |
471 | 0 | || isYomKippur(date+1) // Eve of Yom Kippur |
472 | 0 | || isYomKippur(date) |
473 | 0 | || isSukkot(date) |
474 | 0 | || isSimchatTorah(date) |
475 | | // one-off closings |
476 | 0 | || (d == 27 && m == February && y == 2024) // Municipal elections |
477 | | // holidays abroad |
478 | 0 | || (d == 1 && m == January) // Western New Year's day |
479 | 0 | || dd == easterMonday(y) - 3 // Good Friday |
480 | 0 | || (d >= 25 && w == Monday && m == May && y != 2022) // Spring Bank Holiday |
481 | 0 | || (d == 3 && m == June && y == 2022) |
482 | 0 | || (d == 25 && m == December) // Christmas |
483 | 0 | || (d == 26 && m == December) // Boxing day |
484 | | // other days when fixings were not published |
485 | 0 | || (d == 1 && m == November && y == 2022) // no idea why |
486 | 0 | || (d == 2 && m == January && y == 2023) // Maybe New Year's Day is adjusted to Monday? |
487 | 0 | || (d == 10 && m == April && y == 2023) // Easter Monday, not a holiday in 2024 and 2025 |
488 | 0 | ) |
489 | 0 | return false; // NOLINT(readability-simplify-boolean-expr) |
490 | | |
491 | 0 | return true; |
492 | 0 | } |
493 | | |
494 | | } |