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) 2006 Piter Dias
7 Copyright (C) 2020 Leonardo Arcari
8 Copyright (C) 2020 Kline s.r.l.
9
10 This file is part of QuantLib, a free-software/open-source library
11 for financial quantitative analysts and developers - http://quantlib.org/
12
13 QuantLib is free software: you can redistribute it and/or modify it
14 under the terms of the QuantLib license. You should have received a
15 copy of the license along with this program; if not, please email
16 <quantlib-dev@lists.sf.net>. The license is also available online at
17 <http://quantlib.org/license.shtml>.
18
19 This program is distributed in the hope that it will be useful, but WITHOUT
20 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
21 FOR A PARTICULAR PURPOSE. See the license for more details.
22*/
23
24/*! \file calendar.hpp
25 \brief %calendar class
26*/
27
28#ifndef quantlib_calendar_hpp
29#define quantlib_calendar_hpp
30
31#include <ql/errors.hpp>
32#include <ql/time/date.hpp>
33#include <ql/time/businessdayconvention.hpp>
34#include <ql/shared_ptr.hpp>
35#include <set>
36#include <vector>
37#include <string>
38
39namespace QuantLib {
40
41 class Period;
42
43 //! %calendar class
44 /*! This class provides methods for determining whether a date is a
45 business day or a holiday for a given market, and for
46 incrementing/decrementing a date of a given number of business days.
47
48 The Bridge pattern is used to provide the base behavior of the
49 calendar, namely, to determine whether a date is a business day.
50
51 A calendar should be defined for specific exchange holiday schedule
52 or for general country holiday schedule. Legacy city holiday schedule
53 calendars will be moved to the exchange/country convention.
54
55 \ingroup datetime
56
57 \test the methods for adding and removing holidays are tested
58 by inspecting the calendar before and after their
59 invocation.
60 */
61 class Calendar {
62 protected:
63 //! abstract base class for calendar implementations
64 class Impl {
65 public:
66 virtual ~Impl() = default;
67 virtual std::string name() const = 0;
68 virtual bool isBusinessDay(const Date&) const = 0;
69 virtual bool isWeekend(Weekday) const = 0;
70 std::set<Date> addedHolidays, removedHolidays;
71 };
72 ext::shared_ptr<Impl> impl_;
73 public:
74 /*! The default constructor returns a calendar with a null
75 implementation, which is therefore unusable except as a
76 placeholder.
77 */
78 Calendar() = default;
79 //! \name Calendar interface
80 //@{
81 //! Returns whether or not the calendar is initialized
82 bool empty() const;
83 //! Returns the name of the calendar.
84 /*! \warning This method is used for output and comparison between
85 calendars. It is <b>not</b> meant to be used for writing
86 switch-on-type code.
87 */
88 std::string name() const;
89 /*! Returns <tt>true</tt> iff the date is a business day for the
90 given market.
91 */
92
93 /*! Returns the set of added holidays for the given calendar */
94 const std::set<Date>& addedHolidays() const;
95
96 /*! Returns the set of removed holidays for the given calendar */
97 const std::set<Date>& removedHolidays() const;
98
99 /*! Clear the set of added and removed holidays */
100 void resetAddedAndRemovedHolidays();
101
102 bool isBusinessDay(const Date& d) const;
103 /*! Returns <tt>true</tt> iff the date is a holiday for the given
104 market.
105 */
106 bool isHoliday(const Date& d) const;
107 /*! Returns <tt>true</tt> iff the weekday is part of the
108 weekend for the given market.
109 */
110 bool isWeekend(Weekday w) const;
111 /*! Returns <tt>true</tt> iff in the given market, the date is on
112 or after the last business day for that month.
113 */
114 bool isEndOfMonth(const Date& d) const;
115 //! last business day of the month to which the given date belongs
116 Date endOfMonth(const Date& d) const;
117
118 /*! Adds a date to the set of holidays for the given calendar. */
119 void addHoliday(const Date&);
120 /*! Removes a date from the set of holidays for the given calendar. */
121 void removeHoliday(const Date&);
122
123 /*! Returns the holidays between two dates. */
124 std::vector<Date> holidayList(const Date& from,
125 const Date& to,
126 bool includeWeekEnds = false) const;
127 /*! Returns the business days between two dates. */
128 std::vector<Date> businessDayList(const Date& from,
129 const Date& to) const;
130
131 /*! Adjusts a non-business day to the appropriate near business day
132 with respect to the given convention.
133 */
134 Date adjust(const Date&,
135 BusinessDayConvention convention = Following) const;
136 /*! Advances the given date of the given number of business days and
137 returns the result.
138 \note The input date is not modified.
139 */
140 Date advance(const Date&,
141 Integer n,
142 TimeUnit unit,
143 BusinessDayConvention convention = Following,
144 bool endOfMonth = false) const;
145 /*! Advances the given date as specified by the given period and
146 returns the result.
147 \note The input date is not modified.
148 */
149 Date advance(const Date& date,
150 const Period& period,
151 BusinessDayConvention convention = Following,
152 bool endOfMonth = false) const;
153 /*! Calculates the number of business days between two given
154 dates and returns the result.
155 */
156 Date::serial_type businessDaysBetween(const Date& from,
157 const Date& to,
158 bool includeFirst = true,
159 bool includeLast = false) const;
160 //@}
161
162 protected:
163 //! partial calendar implementation
164 /*! This class provides the means of determining the Easter
165 Monday for a given year, as well as specifying Saturdays
166 and Sundays as weekend days.
167 */
168 class WesternImpl : public Impl {
169 public:
170 bool isWeekend(Weekday) const override;
171 //! expressed relative to first day of year
172 static Day easterMonday(Year);
173 };
174 //! partial calendar implementation
175 /*! This class provides the means of determining the Orthodox
176 Easter Monday for a given year, as well as specifying
177 Saturdays and Sundays as weekend days.
178 */
179 class OrthodoxImpl : public Impl {
180 public:
181 bool isWeekend(Weekday) const override;
182 //! expressed relative to first day of year
183 static Day easterMonday(Year);
184 };
185 };
186
187 /*! Returns <tt>true</tt> iff the two calendars belong to the same
188 derived class.
189 \relates Calendar
190 */
191 bool operator==(const Calendar&, const Calendar&);
192
193 /*! \relates Calendar */
194 bool operator!=(const Calendar&, const Calendar&);
195
196 /*! \relates Calendar */
197 std::ostream& operator<<(std::ostream&, const Calendar&);
198
199
200 // inline definitions
201
202 inline bool Calendar::empty() const {
203 return !impl_;
204 }
205
206 inline std::string Calendar::name() const {
207 QL_REQUIRE(impl_, "no calendar implementation provided");
208 return impl_->name();
209 }
210
211 inline const std::set<Date>& Calendar::addedHolidays() const {
212 QL_REQUIRE(impl_, "no calendar implementation provided");
213
214 return impl_->addedHolidays;
215 }
216
217 inline const std::set<Date>& Calendar::removedHolidays() const {
218 QL_REQUIRE(impl_, "no calendar implementation provided");
219
220 return impl_->removedHolidays;
221 }
222
223 inline bool Calendar::isBusinessDay(const Date& d) const {
224 QL_REQUIRE(impl_, "no calendar implementation provided");
225
226#ifdef QL_HIGH_RESOLUTION_DATE
227 const Date _d(d.dayOfMonth(), d.month(), d.year());
228#else
229 const Date& _d = d;
230#endif
231
232 if (!impl_->addedHolidays.empty() &&
233 impl_->addedHolidays.find(x: _d) != impl_->addedHolidays.end())
234 return false;
235
236 if (!impl_->removedHolidays.empty() &&
237 impl_->removedHolidays.find(x: _d) != impl_->removedHolidays.end())
238 return true;
239
240 return impl_->isBusinessDay(_d);
241 }
242
243 inline bool Calendar::isEndOfMonth(const Date& d) const {
244 return (d.month() != adjust(d+1).month());
245 }
246
247 inline Date Calendar::endOfMonth(const Date& d) const {
248 return adjust(Date::endOfMonth(d), convention: Preceding);
249 }
250
251 inline bool Calendar::isHoliday(const Date& d) const {
252 return !isBusinessDay(d);
253 }
254
255 inline bool Calendar::isWeekend(Weekday w) const {
256 QL_REQUIRE(impl_, "no calendar implementation provided");
257 return impl_->isWeekend(w);
258 }
259
260 inline bool operator==(const Calendar& c1, const Calendar& c2) {
261 return (c1.empty() && c2.empty())
262 || (!c1.empty() && !c2.empty() && c1.name() == c2.name());
263 }
264
265 inline bool operator!=(const Calendar& c1, const Calendar& c2) {
266 return !(c1 == c2);
267 }
268
269 inline std::ostream& operator<<(std::ostream& out, const Calendar &c) {
270 return out << c.name();
271 }
272
273}
274
275#endif
276

source code of quantlib/ql/time/calendar.hpp