/usr/include/ql/time/calendar.hpp is in libquantlib0-dev 1.4-2+b1.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003, 2004, 2005, 2006, 2007 StatPro Italia srl
Copyright (C) 2006 Piter Dias
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 calendar.hpp
\brief %calendar class
*/
#ifndef quantlib_calendar_hpp
#define quantlib_calendar_hpp
#include <ql/time/date.hpp>
#include <ql/time/businessdayconvention.hpp>
#include <boost/shared_ptr.hpp>
#include <set>
#include <vector>
#include <string>
namespace QuantLib {
class Period;
//! %calendar class
/*! This class provides methods for determining whether a date is a
business day or a holiday for a given market, and for
incrementing/decrementing a date of a given number of business days.
The Bridge pattern is used to provide the base behavior of the
calendar, namely, to determine whether a date is a business day.
A calendar should be defined for specific exchange holiday schedule
or for general country holiday schedule. Legacy city holiday schedule
calendars will be moved to the exchange/country convention.
\ingroup datetime
\test the methods for adding and removing holidays are tested
by inspecting the calendar before and after their
invocation.
*/
class Calendar {
protected:
//! abstract base class for calendar implementations
class Impl {
public:
virtual ~Impl() {}
virtual std::string name() const = 0;
virtual bool isBusinessDay(const Date&) const = 0;
virtual bool isWeekend(Weekday) const = 0;
std::set<Date> addedHolidays, removedHolidays;
};
boost::shared_ptr<Impl> impl_;
public:
/*! The default constructor returns a calendar with a null
implementation, which is therefore unusable except as a
placeholder.
*/
Calendar() {}
//! \name Calendar interface
//@{
//! Returns whether or not the calendar is initialized
bool empty() const;
//! Returns the name of the calendar.
/*! \warning This method is used for output and comparison between
calendars. It is <b>not</b> meant to be used for writing
switch-on-type code.
*/
std::string name() const;
/*! Returns <tt>true</tt> iff the date is a business day for the
given market.
*/
bool isBusinessDay(const Date& d) const;
/*! Returns <tt>true</tt> iff the date is a holiday for the given
market.
*/
bool isHoliday(const Date& d) const;
/*! Returns <tt>true</tt> iff the weekday is part of the
weekend for the given market.
*/
bool isWeekend(Weekday w) const;
/*! Returns <tt>true</tt> iff the date is last business day for the
month in given market.
*/
bool isEndOfMonth(const Date& d) const;
//! last business day of the month to which the given date belongs
Date endOfMonth(const Date& d) const;
/*! Adds a date to the set of holidays for the given calendar. */
void addHoliday(const Date&);
/*! Removes a date from the set of holidays for the given calendar. */
void removeHoliday(const Date&);
//! Returns the holidays between two dates
static std::vector<Date> holidayList(const Calendar& calendar,
const Date& from,
const Date& to,
bool includeWeekEnds = false);
/*! Adjusts a non-business day to the appropriate near business day
with respect to the given convention.
*/
Date adjust(const Date&,
BusinessDayConvention convention = Following) const;
/*! Advances the given date of the given number of business days and
returns the result.
\note The input date is not modified.
*/
Date advance(const Date&,
Integer n,
TimeUnit unit,
BusinessDayConvention convention = Following,
bool endOfMonth = false) const;
/*! Advances the given date as specified by the given period and
returns the result.
\note The input date is not modified.
*/
Date advance(const Date& date,
const Period& period,
BusinessDayConvention convention = Following,
bool endOfMonth = false) const;
/*! Calculates the number of business days between two given
dates and returns the result.
*/
BigInteger businessDaysBetween(const Date& from,
const Date& to,
bool includeFirst = true,
bool includeLast = false) const;
//@}
protected:
//! partial calendar implementation
/*! This class provides the means of determining the Easter
Monday for a given year, as well as specifying Saturdays
and Sundays as weekend days.
*/
class WesternImpl : public Impl {
public:
bool isWeekend(Weekday) const;
//! expressed relative to first day of year
static Day easterMonday(Year);
};
//! partial calendar implementation
/*! This class provides the means of determining the Orthodox
Easter Monday for a given year, as well as specifying
Saturdays and Sundays as weekend days.
*/
class OrthodoxImpl : public Impl {
public:
bool isWeekend(Weekday) const;
//! expressed relative to first day of year
static Day easterMonday(Year);
};
};
/*! Returns <tt>true</tt> iff the two calendars belong to the same
derived class.
\relates Calendar
*/
bool operator==(const Calendar&, const Calendar&);
/*! \relates Calendar */
bool operator!=(const Calendar&, const Calendar&);
/*! \relates Calendar */
std::ostream& operator<<(std::ostream&, const Calendar&);
// inline definitions
inline bool Calendar::empty() const {
return !impl_;
}
inline std::string Calendar::name() const {
return impl_->name();
}
inline bool Calendar::isBusinessDay(const Date& d) const {
if (impl_->addedHolidays.find(d) != impl_->addedHolidays.end())
return false;
if (impl_->removedHolidays.find(d) != impl_->removedHolidays.end())
return true;
return impl_->isBusinessDay(d);
}
inline bool Calendar::isEndOfMonth(const Date& d) const {
return (d.month() != adjust(d+1).month());
}
inline Date Calendar::endOfMonth(const Date& d) const {
return adjust(Date::endOfMonth(d), Preceding);
}
inline bool Calendar::isHoliday(const Date& d) const {
return !isBusinessDay(d);
}
inline bool Calendar::isWeekend(Weekday w) const {
return impl_->isWeekend(w);
}
inline bool operator==(const Calendar& c1, const Calendar& c2) {
return (c1.empty() && c2.empty())
|| (!c1.empty() && !c2.empty() && c1.name() == c2.name());
}
inline bool operator!=(const Calendar& c1, const Calendar& c2) {
return !(c1 == c2);
}
inline std::ostream& operator<<(std::ostream& out, const Calendar &c) {
return out << c.name();
}
}
#endif
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