| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl |
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| 5 | Copyright (C) 2003, 2004, 2005, 2006, 2007 StatPro Italia srl |
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| 6 | Copyright (C) 2006 Piter Dias |
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| 7 | Copyright (C) 2014 Paolo Mazzocchi |
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| 8 | |
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| 9 | This file is part of QuantLib, a free-software/open-source library |
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| 10 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 11 | |
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| 12 | QuantLib is free software: you can redistribute it and/or modify it |
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| 13 | under the terms of the QuantLib license. You should have received a |
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| 14 | copy of the license along with this program; if not, please email |
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| 15 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 16 | <http://quantlib.org/license.shtml>. |
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| 17 | |
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| 18 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 19 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 20 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 21 | */ |
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| 22 | |
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| 23 | /*! \file businessdayconvention.hpp |
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| 24 | \brief BusinessDayConvention enumeration |
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| 25 | */ |
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| 26 | |
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| 27 | #ifndef quantlib_business_day_convention_hpp |
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| 28 | #define quantlib_business_day_convention_hpp |
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| 29 | |
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| 30 | #include <ql/qldefines.hpp> |
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| 31 | #include <iosfwd> |
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| 32 | |
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| 33 | namespace QuantLib { |
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| 34 | |
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| 35 | //! Business Day conventions |
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| 36 | /*! These conventions specify the algorithm used to adjust a date in case |
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| 37 | it is not a valid business day. |
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| 38 | |
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| 39 | \ingroup datetime |
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| 40 | */ |
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| 41 | enum BusinessDayConvention { |
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| 42 | // ISDA |
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| 43 | Following, /*!< Choose the first business day after |
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| 44 | the given holiday. */ |
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| 45 | ModifiedFollowing, /*!< Choose the first business day after |
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| 46 | the given holiday unless it belongs |
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| 47 | to a different month, in which case |
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| 48 | choose the first business day before |
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| 49 | the holiday. */ |
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| 50 | Preceding, /*!< Choose the first business |
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| 51 | day before the given holiday. */ |
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| 52 | // NON ISDA |
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| 53 | ModifiedPreceding, /*!< Choose the first business day before |
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| 54 | the given holiday unless it belongs |
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| 55 | to a different month, in which case |
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| 56 | choose the first business day after |
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| 57 | the holiday. */ |
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| 58 | Unadjusted, /*!< Do not adjust. */ |
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| 59 | HalfMonthModifiedFollowing, /*!< Choose the first business day after |
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| 60 | the given holiday unless that day |
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| 61 | crosses the mid-month (15th) or the |
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| 62 | end of month, in which case choose |
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| 63 | the first business day before the |
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| 64 | holiday. */ |
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| 65 | Nearest /*!< Choose the nearest business day |
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| 66 | to the given holiday. If both the |
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| 67 | preceding and following business |
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| 68 | days are equally far away, default |
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| 69 | to following business day. */ |
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| 70 | }; |
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| 71 | |
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| 72 | /*! \relates BusinessDayConvention */ |
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| 73 | std::ostream& operator<<(std::ostream&, |
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| 74 | BusinessDayConvention); |
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| 75 | |
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| 76 | } |
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| 77 | |
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| 78 | #endif |
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| 79 | |
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