/src/quantlib/ql/time/calendar.cpp
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1 | | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
2 | | |
3 | | /* |
4 | | Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl |
5 | | Copyright (C) 2003, 2004, 2005, 2006, 2007 StatPro Italia srl |
6 | | Copyright (C) 2004 Jeff Yu |
7 | | Copyright (C) 2014 Paolo Mazzocchi |
8 | | Copyright (C) 2020 Leonardo Arcari |
9 | | Copyright (C) 2020 Kline s.r.l. |
10 | | |
11 | | This file is part of QuantLib, a free-software/open-source library |
12 | | for financial quantitative analysts and developers - http://quantlib.org/ |
13 | | |
14 | | QuantLib is free software: you can redistribute it and/or modify it |
15 | | under the terms of the QuantLib license. You should have received a |
16 | | copy of the license along with this program; if not, please email |
17 | | <quantlib-dev@lists.sf.net>. The license is also available online at |
18 | | <https://www.quantlib.org/license.shtml>. |
19 | | |
20 | | This program is distributed in the hope that it will be useful, but WITHOUT |
21 | | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
22 | | FOR A PARTICULAR PURPOSE. See the license for more details. |
23 | | */ |
24 | | |
25 | | #include <ql/time/calendar.hpp> |
26 | | #include <ql/errors.hpp> |
27 | | |
28 | | namespace QuantLib { |
29 | | |
30 | | namespace { |
31 | | |
32 | | // Requires: from < to. |
33 | | Date::serial_type daysBetweenImpl(const Calendar& cal, |
34 | | const Date& from, const Date& to, |
35 | 0 | bool includeFirst, bool includeLast) { |
36 | 0 | auto res = static_cast<Date::serial_type>(includeLast && cal.isBusinessDay(to)); |
37 | 0 | for (Date d = includeFirst ? from : from + 1; d < to; ++d) { |
38 | 0 | res += static_cast<Date::serial_type>(cal.isBusinessDay(d)); |
39 | 0 | } |
40 | 0 | return res; |
41 | 0 | } |
42 | | |
43 | | } |
44 | | |
45 | 0 | void Calendar::addHoliday(const Date& d) { |
46 | 0 | QL_REQUIRE(impl_, "no calendar implementation provided"); |
47 | | |
48 | | #ifdef QL_HIGH_RESOLUTION_DATE |
49 | | const Date _d(d.dayOfMonth(), d.month(), d.year()); |
50 | | #else |
51 | 0 | const Date& _d = d; |
52 | 0 | #endif |
53 | | |
54 | | // if d was a genuine holiday previously removed, revert the change |
55 | 0 | impl_->removedHolidays.erase(_d); |
56 | | // if it's already a holiday, leave the calendar alone. |
57 | | // Otherwise, add it. |
58 | 0 | if (impl_->isBusinessDay(_d)) |
59 | 0 | impl_->addedHolidays.insert(_d); |
60 | 0 | } |
61 | | |
62 | 0 | void Calendar::removeHoliday(const Date& d) { |
63 | 0 | QL_REQUIRE(impl_, "no calendar implementation provided"); |
64 | | |
65 | | #ifdef QL_HIGH_RESOLUTION_DATE |
66 | | const Date _d(d.dayOfMonth(), d.month(), d.year()); |
67 | | #else |
68 | 0 | const Date& _d = d; |
69 | 0 | #endif |
70 | | |
71 | | // if d was an artificially-added holiday, revert the change |
72 | 0 | impl_->addedHolidays.erase(_d); |
73 | | // if it's already a business day, leave the calendar alone. |
74 | | // Otherwise, add it. |
75 | 0 | if (!impl_->isBusinessDay(_d)) |
76 | 0 | impl_->removedHolidays.insert(_d); |
77 | 0 | } |
78 | | |
79 | 0 | void Calendar::resetAddedAndRemovedHolidays() { |
80 | 0 | impl_->addedHolidays.clear(); |
81 | 0 | impl_->removedHolidays.clear(); |
82 | 0 | } |
83 | | |
84 | | Date Calendar::adjust(const Date& d, |
85 | 129M | BusinessDayConvention c) const { |
86 | 129M | QL_REQUIRE(d != Date(), "null date"); |
87 | | |
88 | 129M | if (c == Unadjusted) |
89 | 103M | return d; |
90 | | |
91 | 25.8M | Date d1 = d; |
92 | 25.8M | if (c == Following || c == ModifiedFollowing |
93 | 25.8M | || c == HalfMonthModifiedFollowing) { |
94 | 25.8M | while (isHoliday(d1)) |
95 | 0 | ++d1; |
96 | 25.8M | if (c == ModifiedFollowing |
97 | 25.8M | || c == HalfMonthModifiedFollowing) { |
98 | 0 | if (d1.month() != d.month()) { |
99 | 0 | return adjust(d, Preceding); |
100 | 0 | } |
101 | 0 | if (c == HalfMonthModifiedFollowing) { |
102 | 0 | if (d.dayOfMonth() <= 15 && d1.dayOfMonth() > 15) { |
103 | 0 | return adjust(d, Preceding); |
104 | 0 | } |
105 | 0 | } |
106 | 0 | } |
107 | 25.8M | } else if (c == Preceding || c == ModifiedPreceding) { |
108 | 0 | while (isHoliday(d1)) |
109 | 0 | --d1; |
110 | 0 | if (c == ModifiedPreceding && d1.month() != d.month()) { |
111 | 0 | return adjust(d,Following); |
112 | 0 | } |
113 | 0 | } else if (c == Nearest) { |
114 | 0 | Date d2 = d; |
115 | 0 | while (isHoliday(d1) && isHoliday(d2)) |
116 | 0 | { |
117 | 0 | ++d1; |
118 | 0 | --d2; |
119 | 0 | } |
120 | 0 | if (isHoliday(d1)) |
121 | 0 | return d2; |
122 | 0 | else |
123 | 0 | return d1; |
124 | 0 | } else { |
125 | 0 | QL_FAIL("unknown business-day convention"); |
126 | 0 | } |
127 | 25.8M | return d1; |
128 | 25.8M | } |
129 | | |
130 | | Date Calendar::advance(const Date& d, |
131 | | Integer n, TimeUnit unit, |
132 | | BusinessDayConvention c, |
133 | 51.8M | bool endOfMonth) const { |
134 | 51.8M | QL_REQUIRE(d!=Date(), "null date"); |
135 | 51.8M | if (n == 0) { |
136 | 25.8M | return adjust(d,c); |
137 | 25.9M | } else if (unit == Days) { |
138 | 0 | Date d1 = d; |
139 | 0 | if (n > 0) { |
140 | 0 | while (n > 0) { |
141 | 0 | ++d1; |
142 | 0 | while (isHoliday(d1)) |
143 | 0 | ++d1; |
144 | 0 | --n; |
145 | 0 | } |
146 | 0 | } else { |
147 | 0 | while (n < 0) { |
148 | 0 | --d1; |
149 | 0 | while(isHoliday(d1)) |
150 | 0 | --d1; |
151 | 0 | ++n; |
152 | 0 | } |
153 | 0 | } |
154 | 0 | return d1; |
155 | 25.9M | } else if (unit == Weeks) { |
156 | 0 | Date d1 = d + n*unit; |
157 | 0 | return adjust(d1,c); |
158 | 25.9M | } else { |
159 | 25.9M | Date d1 = d + n*unit; |
160 | | |
161 | | // we are sure the unit is Months or Years |
162 | 25.9M | if (endOfMonth) { |
163 | 0 | if (c == Unadjusted) { |
164 | | // move to the last calendar day if d is the last calendar day |
165 | 0 | if (Date::isEndOfMonth(d)) return Date::endOfMonth(d1); |
166 | 0 | } else { |
167 | | // move to the last business day if d is the last business day |
168 | 0 | if (isEndOfMonth(d)) return Calendar::endOfMonth(d1); |
169 | 0 | } |
170 | 0 | } |
171 | 25.9M | return adjust(d1, c); |
172 | 25.9M | } |
173 | 51.8M | } |
174 | | |
175 | | Date Calendar::advance(const Date & d, |
176 | | const Period & p, |
177 | | BusinessDayConvention c, |
178 | 25.9M | bool endOfMonth) const { |
179 | 25.9M | return advance(d, p.length(), p.units(), c, endOfMonth); |
180 | 25.9M | } |
181 | | |
182 | | Date::serial_type Calendar::businessDaysBetween(const Date& from, |
183 | | const Date& to, |
184 | | bool includeFirst, |
185 | 0 | bool includeLast) const { |
186 | 0 | return (from < to) ? daysBetweenImpl(*this, from, to, includeFirst, includeLast) : |
187 | 0 | (from > to) ? -daysBetweenImpl(*this, to, from, includeLast, includeFirst) : |
188 | 0 | Date::serial_type(includeFirst && includeLast && isBusinessDay(from)); |
189 | 0 | } |
190 | | |
191 | | |
192 | | |
193 | | // Western calendars |
194 | | |
195 | 0 | bool Calendar::WesternImpl::isWeekend(Weekday w) const { |
196 | 0 | return w == Saturday || w == Sunday; |
197 | 0 | } |
198 | | |
199 | 0 | Day Calendar::WesternImpl::easterMonday(Year y) { |
200 | 0 | static const unsigned char EasterMonday[] = { |
201 | 0 | 98, 90, 103, 95, 114, 106, 91, 111, 102, // 1901-1909 |
202 | 0 | 87, 107, 99, 83, 103, 95, 115, 99, 91, 111, // 1910-1919 |
203 | 0 | 96, 87, 107, 92, 112, 103, 95, 108, 100, 91, // 1920-1929 |
204 | 0 | 111, 96, 88, 107, 92, 112, 104, 88, 108, 100, // 1930-1939 |
205 | 0 | 85, 104, 96, 116, 101, 92, 112, 97, 89, 108, // 1940-1949 |
206 | 0 | 100, 85, 105, 96, 109, 101, 93, 112, 97, 89, // 1950-1959 |
207 | 0 | 109, 93, 113, 105, 90, 109, 101, 86, 106, 97, // 1960-1969 |
208 | 0 | 89, 102, 94, 113, 105, 90, 110, 101, 86, 106, // 1970-1979 |
209 | 0 | 98, 110, 102, 94, 114, 98, 90, 110, 95, 86, // 1980-1989 |
210 | 0 | 106, 91, 111, 102, 94, 107, 99, 90, 103, 95, // 1990-1999 |
211 | 0 | 115, 106, 91, 111, 103, 87, 107, 99, 84, 103, // 2000-2009 |
212 | 0 | 95, 115, 100, 91, 111, 96, 88, 107, 92, 112, // 2010-2019 |
213 | 0 | 104, 95, 108, 100, 92, 111, 96, 88, 108, 92, // 2020-2029 |
214 | 0 | 112, 104, 89, 108, 100, 85, 105, 96, 116, 101, // 2030-2039 |
215 | 0 | 93, 112, 97, 89, 109, 100, 85, 105, 97, 109, // 2040-2049 |
216 | 0 | 101, 93, 113, 97, 89, 109, 94, 113, 105, 90, // 2050-2059 |
217 | 0 | 110, 101, 86, 106, 98, 89, 102, 94, 114, 105, // 2060-2069 |
218 | 0 | 90, 110, 102, 86, 106, 98, 111, 102, 94, 114, // 2070-2079 |
219 | 0 | 99, 90, 110, 95, 87, 106, 91, 111, 103, 94, // 2080-2089 |
220 | 0 | 107, 99, 91, 103, 95, 115, 107, 91, 111, 103, // 2090-2099 |
221 | 0 | 88, 108, 100, 85, 105, 96, 109, 101, 93, 112, // 2100-2109 |
222 | 0 | 97, 89, 109, 93, 113, 105, 90, 109, 101, 86, // 2110-2119 |
223 | 0 | 106, 97, 89, 102, 94, 113, 105, 90, 110, 101, // 2120-2129 |
224 | 0 | 86, 106, 98, 110, 102, 94, 114, 98, 90, 110, // 2130-2139 |
225 | 0 | 95, 86, 106, 91, 111, 102, 94, 107, 99, 90, // 2140-2149 |
226 | 0 | 103, 95, 115, 106, 91, 111, 103, 87, 107, 99, // 2150-2159 |
227 | 0 | 84, 103, 95, 115, 100, 91, 111, 96, 88, 107, // 2160-2169 |
228 | 0 | 92, 112, 104, 95, 108, 100, 92, 111, 96, 88, // 2170-2179 |
229 | 0 | 108, 92, 112, 104, 89, 108, 100, 85, 105, 96, // 2180-2189 |
230 | 0 | 116, 101, 93, 112, 97, 89, 109, 100, 85, 105 // 2190-2199 |
231 | 0 | }; |
232 | 0 | return EasterMonday[y-1901]; |
233 | 0 | } |
234 | | |
235 | | // Orthodox calendars |
236 | | |
237 | 0 | bool Calendar::OrthodoxImpl::isWeekend(Weekday w) const { |
238 | 0 | return w == Saturday || w == Sunday; |
239 | 0 | } |
240 | | |
241 | 0 | Day Calendar::OrthodoxImpl::easterMonday(Year y) { |
242 | 0 | static const unsigned char EasterMonday[] = { |
243 | 0 | 105, 118, 110, 102, 121, 106, 126, 118, 102, // 1901-1909 |
244 | 0 | 122, 114, 99, 118, 110, 95, 115, 106, 126, 111, // 1910-1919 |
245 | 0 | 103, 122, 107, 99, 119, 110, 123, 115, 107, 126, // 1920-1929 |
246 | 0 | 111, 103, 123, 107, 99, 119, 104, 123, 115, 100, // 1930-1939 |
247 | 0 | 120, 111, 96, 116, 108, 127, 112, 104, 124, 115, // 1940-1949 |
248 | 0 | 100, 120, 112, 96, 116, 108, 128, 112, 104, 124, // 1950-1959 |
249 | 0 | 109, 100, 120, 105, 125, 116, 101, 121, 113, 104, // 1960-1969 |
250 | 0 | 117, 109, 101, 120, 105, 125, 117, 101, 121, 113, // 1970-1979 |
251 | 0 | 98, 117, 109, 129, 114, 105, 125, 110, 102, 121, // 1980-1989 |
252 | 0 | 106, 98, 118, 109, 122, 114, 106, 118, 110, 102, // 1990-1999 |
253 | 0 | 122, 106, 126, 118, 103, 122, 114, 99, 119, 110, // 2000-2009 |
254 | 0 | 95, 115, 107, 126, 111, 103, 123, 107, 99, 119, // 2010-2019 |
255 | 0 | 111, 123, 115, 107, 127, 111, 103, 123, 108, 99, // 2020-2029 |
256 | 0 | 119, 104, 124, 115, 100, 120, 112, 96, 116, 108, // 2030-2039 |
257 | 0 | 128, 112, 104, 124, 116, 100, 120, 112, 97, 116, // 2040-2049 |
258 | 0 | 108, 128, 113, 104, 124, 109, 101, 120, 105, 125, // 2050-2059 |
259 | 0 | 117, 101, 121, 113, 105, 117, 109, 101, 121, 105, // 2060-2069 |
260 | 0 | 125, 110, 102, 121, 113, 98, 118, 109, 129, 114, // 2070-2079 |
261 | 0 | 106, 125, 110, 102, 122, 106, 98, 118, 110, 122, // 2080-2089 |
262 | 0 | 114, 99, 119, 110, 102, 115, 107, 126, 118, 103, // 2090-2099 |
263 | 0 | 123, 115, 100, 120, 112, 96, 116, 108, 128, 112, // 2100-2109 |
264 | 0 | 104, 124, 109, 100, 120, 105, 125, 116, 108, 121, // 2110-2119 |
265 | 0 | 113, 104, 124, 109, 101, 120, 105, 125, 117, 101, // 2120-2129 |
266 | 0 | 121, 113, 98, 117, 109, 129, 114, 105, 125, 110, // 2130-2139 |
267 | 0 | 102, 121, 113, 98, 118, 109, 129, 114, 106, 125, // 2140-2149 |
268 | 0 | 110, 102, 122, 106, 126, 118, 103, 122, 114, 99, // 2150-2159 |
269 | 0 | 119, 110, 102, 115, 107, 126, 111, 103, 123, 114, // 2160-2169 |
270 | 0 | 99, 119, 111, 130, 115, 107, 127, 111, 103, 123, // 2170-2179 |
271 | 0 | 108, 99, 119, 104, 124, 115, 100, 120, 112, 103, // 2180-2189 |
272 | 0 | 116, 108, 128, 119, 104, 124, 116, 100, 120, 112 // 2190-2199 |
273 | 0 | }; |
274 | 0 | return EasterMonday[y-1901]; |
275 | 0 | } |
276 | | |
277 | | std::vector<Date> Calendar::holidayList( |
278 | 0 | const Date& from, const Date& to, bool includeWeekEnds) const { |
279 | |
|
280 | 0 | std::vector<Date> result; |
281 | 0 | for (Date d = from; d <= to; ++d) { |
282 | 0 | if (isHoliday(d) && (includeWeekEnds || !isWeekend(d.weekday()))) |
283 | 0 | result.push_back(d); |
284 | 0 | } |
285 | 0 | return result; |
286 | 0 | } |
287 | | |
288 | | std::vector<Date> Calendar::businessDayList( |
289 | 0 | const Date& from, const Date& to) const { |
290 | |
|
291 | 0 | std::vector<Date> result; |
292 | 0 | for (Date d = from; d <= to; ++d) { |
293 | 0 | if (isBusinessDay(d)) |
294 | 0 | result.push_back(d); |
295 | 0 | } |
296 | 0 | return result; |
297 | 0 | } |
298 | | } |