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unitedstates.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2004, 2005 Ferdinando Ametrano
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/reference/license.html>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

#include <ql/Calendars/unitedstates.hpp>

namespace QuantLib {

    UnitedStates::UnitedStates(UnitedStates::Market market) {
        // all calendar instances on the same market share the same
        // implementation instance
        static boost::shared_ptr<Calendar::Impl> settlementImpl(
                                        new UnitedStates::SettlementImpl);
        static boost::shared_ptr<Calendar::Impl> nyseImpl(
                                        new UnitedStates::NyseImpl);
        static boost::shared_ptr<Calendar::Impl> governmentImpl(
                                        new UnitedStates::GovernmentBondImpl);
        static boost::shared_ptr<Calendar::Impl> nercImpl(
                                        new UnitedStates::NercImpl);
        switch (market) {
          case Settlement:
            impl_ = settlementImpl;
            break;
          case NYSE:
            impl_ = nyseImpl;
            break;
          case GovernmentBond:
            impl_ = governmentImpl;
            break;
          case NERC:
            impl_ = nercImpl;
            break;
          default:
            QL_FAIL("unknown market");
        }
    }


    bool UnitedStates::SettlementImpl::isBusinessDay(const Date& date) const {
        Weekday w = date.weekday();
        Day d = date.dayOfMonth();
        Month m = date.month();
        if (isWeekend(w)
            // New Year's Day (possibly moved to Monday if on Sunday)
            || ((d == 1 || (d == 2 && w == Monday)) && m == January)
            // (or to Friday if on Saturday)
            || (d == 31 && w == Friday && m == December)
            // Martin Luther King's birthday (third Monday in January)
            || ((d >= 15 && d <= 21) && w == Monday && m == January)
            // Washington's birthday (third Monday in February)
            || ((d >= 15 && d <= 21) && w == Monday && m == February)
            // Memorial Day (last Monday in May)
            || (d >= 25 && w == Monday && m == May)
            // Independence Day (Monday if Sunday or Friday if Saturday)
            || ((d == 4 || (d == 5 && w == Monday) ||
                 (d == 3 && w == Friday)) && m == July)
            // Labor Day (first Monday in September)
            || (d <= 7 && w == Monday && m == September)
            // Columbus Day (second Monday in October)
            || ((d >= 8 && d <= 14) && w == Monday && m == October)
            // Veteran's Day (Monday if Sunday or Friday if Saturday)
            || ((d == 11 || (d == 12 && w == Monday) ||
                 (d == 10 && w == Friday)) && m == November)
            // Thanksgiving Day (fourth Thursday in November)
            || ((d >= 22 && d <= 28) && w == Thursday && m == November)
            // Christmas (Monday if Sunday or Friday if Saturday)
            || ((d == 25 || (d == 26 && w == Monday) ||
                 (d == 24 && w == Friday)) && m == December))
            return false;
        return true;
    }


    bool UnitedStates::NyseImpl::isBusinessDay(const Date& date) const {
        Weekday w = date.weekday();
        Day d = date.dayOfMonth(), dd = date.dayOfYear();
        Month m = date.month();
        Year y = date.year();
        Day em = easterMonday(y);
        if (isWeekend(w)
            // New Year's Day (possibly moved to Monday if on Sunday)
            || ((d == 1 || (d == 2 && w == Monday)) && m == January)
            // Washington's birthday (third Monday in February)
            || ((d >= 15 && d <= 21) && w == Monday && m == February)
            // Good Friday
            || (dd == em-3)
            // Memorial Day (last Monday in May)
            || (d >= 25 && w == Monday && m == May)
            // Independence Day (Monday if Sunday or Friday if Saturday)
            || ((d == 4 || (d == 5 && w == Monday) ||
                 (d == 3 && w == Friday)) && m == July)
            // Labor Day (first Monday in September)
            || (d <= 7 && w == Monday && m == September)
            // Thanksgiving Day (fourth Thursday in November)
            || ((d >= 22 && d <= 28) && w == Thursday && m == November)
            // Christmas (Monday if Sunday or Friday if Saturday)
            || ((d == 25 || (d == 26 && w == Monday) ||
                 (d == 24 && w == Friday)) && m == December)
            ) return false;

        if (y >= 1998) {
            if (// Martin Luther King's birthday (third Monday in January)
                ((d >= 15 && d <= 21) && w == Monday && m == January)
                // Reagan's funeral
                || (y == 2004 && m == June && d == 11)
                // September 11, 2001
                || (y == 2001 && m == September && (11 <= d && d <= 14))
                ) return false;
        } else if (y <= 1980) {
            if (// Presidential election days
                ((y % 4 == 0) && m == November && d <= 7 && w == Tuesday)
                // 1977 Blackout
                || (y == 1977 && m == July && d == 14)
                // Funeral of former President Lyndon B. Johnson.
                || (y == 1973 && m == January && d == 25)
                // Funeral of former President Harry S. Truman
                || (y == 1972 && m == December && d == 28)
                // National Day of Participation for the lunar exploration.
                || (y == 1969 && m == July && d == 21)
                // Funeral of former President Eisenhower.
                || (y == 1969 && m == March && d == 31)
                // Closed all day - heavy snow.
                || (y == 1969 && m == February && d == 10)
                // Day after Independence Day.
                || (y == 1968 && m == July && d == 5)
                // June 12-Dec. 31, 1968
                // Four day week (closed on Wednesdays) - Paperwork Crisis
                || (y == 1968 && dd >= 163 && w == Wednesday)
                ) return false;
        } else {
            if (// Nixon's funeral
                (y == 1994 && m == April && d == 27)
                ) return false;
        }


        return true;
    }


    bool UnitedStates::GovernmentBondImpl::isBusinessDay(const Date& date)
                                                                      const {
        Weekday w = date.weekday();
        Day d = date.dayOfMonth(), dd = date.dayOfYear();
        Month m = date.month();
        Year y = date.year();
        Day em = easterMonday(y);
        if (isWeekend(w)
            // New Year's Day (possibly moved to Monday if on Sunday)
            || ((d == 1 || (d == 2 && w == Monday)) && m == January)
            // Martin Luther King's birthday (third Monday in January)
            || ((d >= 15 && d <= 21) && w == Monday && m == January)
            // Washington's birthday (third Monday in February)
            || ((d >= 15 && d <= 21) && w == Monday && m == February)
            // Good Friday
            || (dd == em-3)
            // Memorial Day (last Monday in May)
            || (d >= 25 && w == Monday && m == May)
            // Independence Day (Monday if Sunday or Friday if Saturday)
            || ((d == 4 || (d == 5 && w == Monday) ||
                 (d == 3 && w == Friday)) && m == July)
            // Labor Day (first Monday in September)
            || (d <= 7 && w == Monday && m == September)
            // Columbus Day (second Monday in October)
            || ((d >= 8 && d <= 14) && w == Monday && m == October)
            // Veteran's Day (Monday if Sunday or Friday if Saturday)
            || ((d == 11 || (d == 12 && w == Monday) ||
                 (d == 10 && w == Friday)) && m == November)
            // Thanksgiving Day (fourth Thursday in November)
            || ((d >= 22 && d <= 28) && w == Thursday && m == November)
            // Christmas (Monday if Sunday or Friday if Saturday)
            || ((d == 25 || (d == 26 && w == Monday) ||
                 (d == 24 && w == Friday)) && m == December))
            return false;
        return true;
    }


    bool UnitedStates::NercImpl::isBusinessDay(const Date& date) const {
        Weekday w = date.weekday();
        Day d = date.dayOfMonth();
        Month m = date.month();
        if (isWeekend(w)
            // New Year's Day (possibly moved to Monday if on Sunday)
            || ((d == 1 || (d == 2 && w == Monday)) && m == January)
            // Memorial Day (last Monday in May)
            || (d >= 25 && w == Monday && m == May)
            // Independence Day (Monday if Sunday)
            || ((d == 4 || (d == 5 && w == Monday)) && m == July)
            // Labor Day (first Monday in September)
            || (d <= 7 && w == Monday && m == September)
            // Thanksgiving Day (fourth Thursday in November)
            || ((d >= 22 && d <= 28) && w == Thursday && m == November)
            // Christmas (Monday if Sunday)
            || ((d == 25 || (d == 26 && w == Monday)) && m == December))
            return false;
        return true;
    }

}

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