/usr/include/ql/time/calendars/unitedstates.hpp is in libquantlib0-dev 1.1-2build1.
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/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl
Copyright (C) 2004 Ferdinando Ametrano
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/license.shtml>.
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.
*/
/*! \file unitedstates.hpp
\brief US calendars
*/
#ifndef quantlib_united_states_calendar_hpp
#define quantlib_united_states_calendar_hpp
#include <ql/time/calendar.hpp>
namespace QuantLib {
//! United States calendars
/*! Public holidays (see: http://www.opm.gov/fedhol/):
<ul>
<li>Saturdays</li>
<li>Sundays</li>
<li>New Year's Day, January 1st (possibly moved to Monday if
actually on Sunday, or to Friday if on Saturday)</li>
<li>Martin Luther King's birthday, third Monday in January</li>
<li>Presidents' Day (a.k.a. Washington's birthday),
third Monday in February</li>
<li>Memorial Day, last Monday in May</li>
<li>Independence Day, July 4th (moved to Monday if Sunday or
Friday if Saturday)</li>
<li>Labor Day, first Monday in September</li>
<li>Columbus Day, second Monday in October</li>
<li>Veterans' Day, November 11th (moved to Monday if Sunday or
Friday if Saturday)</li>
<li>Thanksgiving Day, fourth Thursday in November</li>
<li>Christmas, December 25th (moved to Monday if Sunday or Friday
if Saturday)</li>
</ul>
Holidays for the stock exchange (data from http://www.nyse.com):
<ul>
<li>Saturdays</li>
<li>Sundays</li>
<li>New Year's Day, January 1st (possibly moved to Monday if
actually on Sunday)</li>
<li>Martin Luther King's birthday, third Monday in January (since
1998)</li>
<li>Presidents' Day (a.k.a. Washington's birthday),
third Monday in February</li>
<li>Good Friday</li>
<li>Memorial Day, last Monday in May</li>
<li>Independence Day, July 4th (moved to Monday if Sunday or
Friday if Saturday)</li>
<li>Labor Day, first Monday in September</li>
<li>Thanksgiving Day, fourth Thursday in November</li>
<li>Presidential election day, first Tuesday in November of election
years (until 1980)</li>
<li>Christmas, December 25th (moved to Monday if Sunday or Friday
if Saturday)</li>
<li>Special historic closings (see
http://www.nyse.com/pdfs/closings.pdf)</li>
</ul>
Holidays for the government bond market (data from
http://www.bondmarkets.com):
<ul>
<li>Saturdays</li>
<li>Sundays</li>
<li>New Year's Day, January 1st (possibly moved to Monday if
actually on Sunday)</li>
<li>Martin Luther King's birthday, third Monday in January</li>
<li>Presidents' Day (a.k.a. Washington's birthday),
third Monday in February</li>
<li>Good Friday</li>
<li>Memorial Day, last Monday in May</li>
<li>Independence Day, July 4th (moved to Monday if Sunday or
Friday if Saturday)</li>
<li>Labor Day, first Monday in September</li>
<li>Columbus Day, second Monday in October</li>
<li>Veterans' Day, November 11th (moved to Monday if Sunday or
Friday if Saturday)</li>
<li>Thanksgiving Day, fourth Thursday in November</li>
<li>Christmas, December 25th (moved to Monday if Sunday or Friday
if Saturday)</li>
</ul>
Holidays for the North American Energy Reliability Council
(data from http://www.nerc.com/~oc/offpeaks.html):
<ul>
<li>Saturdays</li>
<li>Sundays</li>
<li>New Year's Day, January 1st (possibly moved to Monday if
actually on Sunday)</li>
<li>Memorial Day, last Monday in May</li>
<li>Independence Day, July 4th (moved to Monday if Sunday)</li>
<li>Labor Day, first Monday in September</li>
<li>Thanksgiving Day, fourth Thursday in November</li>
<li>Christmas, December 25th (moved to Monday if Sunday)</li>
</ul>
\ingroup calendars
\test the correctness of the returned results is tested
against a list of known holidays.
*/
class UnitedStates : public Calendar {
private:
class SettlementImpl : public Calendar::WesternImpl {
public:
std::string name() const { return "US settlement"; }
bool isBusinessDay(const Date&) const;
};
class NyseImpl : public Calendar::WesternImpl {
public:
std::string name() const { return "New York stock exchange"; }
bool isBusinessDay(const Date&) const;
};
class GovernmentBondImpl : public Calendar::WesternImpl {
public:
std::string name() const { return "US government bond market"; }
bool isBusinessDay(const Date&) const;
};
class NercImpl : public Calendar::WesternImpl {
public:
std::string name() const {
return "North American Energy Reliability Council";
}
bool isBusinessDay(const Date&) const;
};
public:
//! US calendars
enum Market { Settlement, //!< generic settlement calendar
NYSE, //!< New York stock exchange calendar
GovernmentBond, //!< government-bond calendar
NERC //!< off-peak days for NERC
};
UnitedStates(Market market = Settlement);
};
}
#endif
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