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calendars.cpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003, 2004, 2008 StatPro Italia srl
Copyright (C) 2005 Ferdinando Ametrano
Copyright (C) 2006 Piter Dias
Copyright (C) 2008 Charles Chongseok Hyun
Copyright (C) 2015 Dmitri Nesteruk
Copyright (C) 2020 Piotr Siejda
Copyright (C) 2020 Leonardo Arcari
Copyright (C) 2020 Kline s.r.l.
Copyright (C) 2022, 2024 Skandinaviska Enskilda Banken AB (publ)
Copyright (C) 2023 Jonghee Lee
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.
*/
#include "toplevelfixture.hpp"
#include "utilities.hpp"
#include <ql/errors.hpp>
#include <ql/time/calendar.hpp>
#include <ql/time/calendars/bespokecalendar.hpp>
#include <ql/time/calendars/brazil.hpp>
#include <ql/time/calendars/china.hpp>
#include <ql/time/calendars/denmark.hpp>
#include <ql/time/calendars/germany.hpp>
#include <ql/time/calendars/italy.hpp>
#include <ql/time/calendars/japan.hpp>
#include <ql/time/calendars/jointcalendar.hpp>
#include <ql/time/calendars/mexico.hpp>
#include <ql/time/calendars/russia.hpp>
#include <ql/time/calendars/southkorea.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/calendars/unitedkingdom.hpp>
#include <ql/time/calendars/unitedstates.hpp>
#include <ql/indexes/ibor/sofr.hpp>
#include <fstream>
using namespace QuantLib;
using namespace boost::unit_test_framework;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(CalendarTests)
BOOST_AUTO_TEST_CASE(testModifiedCalendars) {
BOOST_TEST_MESSAGE("Testing calendar modification...");
Calendar c1 = TARGET();
Calendar c2 = UnitedStates(UnitedStates::NYSE);
Date d1(1, May, 2004); // holiday for both calendars
Date d2(26, April, 2004); // business day
QL_REQUIRE(c1.isHoliday(d1), "wrong assumption---correct the test");
QL_REQUIRE(c1.isBusinessDay(d2), "wrong assumption---correct the test");
QL_REQUIRE(c2.isHoliday(d1), "wrong assumption---correct the test");
QL_REQUIRE(c2.isBusinessDay(d2), "wrong assumption---correct the test");
// modify the TARGET calendar
c1.removeHoliday(d1);
c1.addHoliday(d2);
// test
std::set<Date> addedHolidays(c1.addedHolidays());
std::set<Date> removedHolidays(c1.removedHolidays());
QL_REQUIRE(addedHolidays.find(d1) == addedHolidays.end(),
"did not expect to find date in addedHolidays");
QL_REQUIRE(addedHolidays.find(d2) != addedHolidays.end(),
"expected to find date in addedHolidays");
QL_REQUIRE(removedHolidays.find(d1) != removedHolidays.end(),
"expected to find date in removedHolidays");
QL_REQUIRE(removedHolidays.find(d2) == removedHolidays.end(),
"did not expect to find date in removedHolidays");
if (c1.isHoliday(d1))
BOOST_FAIL(d1 << " still a holiday for original TARGET instance");
if (c1.isBusinessDay(d2))
BOOST_FAIL(d2 << " still a business day for original TARGET instance");
// any instance of TARGET should be modified...
Calendar c3 = TARGET();
if (c3.isHoliday(d1))
BOOST_FAIL(d1 << " still a holiday for generic TARGET instance");
if (c3.isBusinessDay(d2))
BOOST_FAIL(d2 << " still a business day for generic TARGET instance");
// ...but not other calendars
if (c2.isBusinessDay(d1))
BOOST_FAIL(d1 << " business day for New York");
if (c2.isHoliday(d2))
BOOST_FAIL(d2 << " holiday for New York");
// restore original holiday set---test the other way around
c3.addHoliday(d1);
c3.removeHoliday(d2);
if (c1.isBusinessDay(d1))
BOOST_FAIL(d1 << " still a business day");
if (c1.isHoliday(d2))
BOOST_FAIL(d2 << " still a holiday");
}
BOOST_AUTO_TEST_CASE(testJointCalendars) {
BOOST_TEST_MESSAGE("Testing joint calendars...");
Calendar c1 = TARGET(), c2 = UnitedKingdom(), c3 = UnitedStates(UnitedStates::NYSE),
c4 = Japan(), c5 = Germany();
std::vector<Calendar> calendar_vect;
calendar_vect.reserve(5);
calendar_vect.push_back(c1);
calendar_vect.push_back(c2);
calendar_vect.push_back(c3);
calendar_vect.push_back(c4);
calendar_vect.push_back(c5);
Calendar c12h = JointCalendar(c1, c2, JoinHolidays),
c12b = JointCalendar(c1, c2, JoinBusinessDays),
c123h = JointCalendar(c1, c2, c3, JoinHolidays),
c123b = JointCalendar(c1, c2, c3, JoinBusinessDays),
c1234h = JointCalendar(c1, c2, c3, c4, JoinHolidays),
c1234b = JointCalendar(c1, c2, c3, c4, JoinBusinessDays),
cvh = JointCalendar(calendar_vect, JoinHolidays);
// test one year, starting today
Date firstDate = Date::todaysDate(), endDate = firstDate + 1 * Years;
for (Date d = firstDate; d < endDate; d++) {
bool b1 = c1.isBusinessDay(d), b2 = c2.isBusinessDay(d), b3 = c3.isBusinessDay(d),
b4 = c4.isBusinessDay(d), b5 = c5.isBusinessDay(d);
if ((b1 && b2) != c12h.isBusinessDay(d))
BOOST_FAIL("At date " << d << ":\n"
<< " inconsistency between joint calendar " << c12h.name()
<< " (joining holidays)\n"
<< " and its components");
if ((b1 || b2) != c12b.isBusinessDay(d))
BOOST_FAIL("At date " << d << ":\n"
<< " inconsistency between joint calendar " << c12b.name()
<< " (joining business days)\n"
<< " and its components");
if ((b1 && b2 && b3) != c123h.isBusinessDay(d))
BOOST_FAIL("At date " << d << ":\n"
<< " inconsistency between joint calendar " << c123h.name()
<< " (joining holidays)\n"
<< " and its components");
if ((b1 || b2 || b3) != c123b.isBusinessDay(d))
BOOST_FAIL("At date " << d << ":\n"
<< " inconsistency between joint calendar " << c123b.name()
<< " (joining business days)\n"
<< " and its components");
if ((b1 && b2 && b3 && b4) != c1234h.isBusinessDay(d))
BOOST_FAIL("At date " << d << ":\n"
<< " inconsistency between joint calendar " << c1234h.name()
<< " (joining holidays)\n"
<< " and its components");
if ((b1 || b2 || b3 || b4) != c1234b.isBusinessDay(d))
BOOST_FAIL("At date " << d << ":\n"
<< " inconsistency between joint calendar " << c1234b.name()
<< " (joining business days)\n"
<< " and its components");
if ((b1 && b2 && b3 && b4 && b5) != cvh.isBusinessDay(d))
BOOST_FAIL("At date " << d << ":\n"
<< " inconsistency between joint calendar " << cvh.name()
<< " (joining holidays)\n"
<< " and its components");
}
}
BOOST_AUTO_TEST_CASE(testUSSettlement) {
BOOST_TEST_MESSAGE("Testing US settlement holiday list...");
std::vector<Date> expectedHol;
expectedHol.emplace_back(1, January, 2004);
expectedHol.emplace_back(19, January, 2004);
expectedHol.emplace_back(16, February, 2004);
expectedHol.emplace_back(31, May, 2004);
expectedHol.emplace_back(5, July, 2004);
expectedHol.emplace_back(6, September, 2004);
expectedHol.emplace_back(11, October, 2004);
expectedHol.emplace_back(11, November, 2004);
expectedHol.emplace_back(25, November, 2004);
expectedHol.emplace_back(24, December, 2004);
expectedHol.emplace_back(31, December, 2004);
expectedHol.emplace_back(17, January, 2005);
expectedHol.emplace_back(21, February, 2005);
expectedHol.emplace_back(30, May, 2005);
expectedHol.emplace_back(4, July, 2005);
expectedHol.emplace_back(5, September, 2005);
expectedHol.emplace_back(10, October, 2005);
expectedHol.emplace_back(11, November, 2005);
expectedHol.emplace_back(24, November, 2005);
expectedHol.emplace_back(26, December, 2005);
Calendar c = UnitedStates(UnitedStates::Settlement);
std::vector<Date> hol = c.holidayList(Date(1, January, 2004), Date(31, December, 2005));
if (hol.size() != expectedHol.size())
BOOST_FAIL("there were " << expectedHol.size() << " expected holidays, while there are "
<< hol.size() << " calculated holidays");
for (Size i = 0; i < hol.size(); i++) {
if (hol[i] != expectedHol[i])
BOOST_FAIL("expected holiday was " << expectedHol[i] << " while calculated holiday is "
<< hol[i]);
}
// before Uniform Monday Holiday Act
expectedHol = std::vector<Date>();
expectedHol.emplace_back(2, January, 1961);
expectedHol.emplace_back(22, February, 1961);
expectedHol.emplace_back(30, May, 1961);
expectedHol.emplace_back(4, July, 1961);
expectedHol.emplace_back(4, September, 1961);
expectedHol.emplace_back(10, November, 1961);
expectedHol.emplace_back(23, November, 1961);
expectedHol.emplace_back(25, December, 1961);
hol = c.holidayList(Date(1, January, 1961), Date(31, December, 1961));
if (hol.size() != expectedHol.size())
BOOST_FAIL("there were " << expectedHol.size() << " expected holidays, while there are "
<< hol.size() << " calculated holidays");
for (Size i = 0; i < hol.size(); i++) {
if (hol[i] != expectedHol[i])
BOOST_FAIL("expected holiday was " << expectedHol[i] << " while calculated holiday is "
<< hol[i]);
}
}
BOOST_AUTO_TEST_CASE(testUSGovernmentBondMarket) {
BOOST_TEST_MESSAGE("Testing US government bond market holiday list...");
std::vector<Date> expectedHol;
expectedHol.emplace_back(1, January, 2004);
expectedHol.emplace_back(19, January, 2004);
expectedHol.emplace_back(16, February, 2004);
expectedHol.emplace_back(9, April, 2004);
expectedHol.emplace_back(31, May, 2004);
expectedHol.emplace_back(11, June, 2004); // Reagan's funeral
expectedHol.emplace_back(5, July, 2004);
expectedHol.emplace_back(6, September, 2004);
expectedHol.emplace_back(11, October, 2004);
expectedHol.emplace_back(11, November, 2004);
expectedHol.emplace_back(25, November, 2004);
expectedHol.emplace_back(24, December, 2004);
Calendar c = UnitedStates(UnitedStates::GovernmentBond);
std::vector<Date> hol = c.holidayList(Date(1, January, 2004), Date(31, December, 2004));
for (Size i = 0; i < std::min<Size>(hol.size(), expectedHol.size()); i++) {
if (hol[i] != expectedHol[i])
BOOST_FAIL("expected holiday was " << expectedHol[i] << " while calculated holiday is "
<< hol[i]);
}
if (hol.size() != expectedHol.size())
BOOST_FAIL("there were " << expectedHol.size() << " expected holidays, while there are "
<< hol.size() << " calculated holidays");
}
BOOST_AUTO_TEST_CASE(testUSNewYorkStockExchange) {
BOOST_TEST_MESSAGE("Testing New York Stock Exchange holiday list...");
std::vector<Date> expectedHol;
expectedHol.emplace_back(1, January, 2004);
expectedHol.emplace_back(19, January, 2004);
expectedHol.emplace_back(16, February, 2004);
expectedHol.emplace_back(9, April, 2004);
expectedHol.emplace_back(31, May, 2004);
expectedHol.emplace_back(11, June, 2004);
expectedHol.emplace_back(5, July, 2004);
expectedHol.emplace_back(6, September, 2004);
expectedHol.emplace_back(25, November, 2004);
expectedHol.emplace_back(24, December, 2004);
expectedHol.emplace_back(17, January, 2005);
expectedHol.emplace_back(21, February, 2005);
expectedHol.emplace_back(25, March, 2005);
expectedHol.emplace_back(30, May, 2005);
expectedHol.emplace_back(4, July, 2005);
expectedHol.emplace_back(5, September, 2005);
expectedHol.emplace_back(24, November, 2005);
expectedHol.emplace_back(26, December, 2005);
expectedHol.emplace_back(2, January, 2006);
expectedHol.emplace_back(16, January, 2006);
expectedHol.emplace_back(20, February, 2006);
expectedHol.emplace_back(14, April, 2006);
expectedHol.emplace_back(29, May, 2006);
expectedHol.emplace_back(4, July, 2006);
expectedHol.emplace_back(4, September, 2006);
expectedHol.emplace_back(23, November, 2006);
expectedHol.emplace_back(25, December, 2006);
Calendar c = UnitedStates(UnitedStates::NYSE);
std::vector<Date> hol = c.holidayList(Date(1, January, 2004), Date(31, December, 2006));
Size i;
for (i = 0; i < std::min<Size>(hol.size(), expectedHol.size()); i++) {
if (hol[i] != expectedHol[i])
BOOST_FAIL("expected holiday was " << expectedHol[i] << " while calculated holiday is "
<< hol[i]);
}
if (hol.size() != expectedHol.size())
BOOST_FAIL("there were " << expectedHol.size() << " expected holidays, while there are "
<< hol.size() << " calculated holidays");
std::vector<Date> histClose;
histClose.emplace_back(30, October, 2012); // Hurricane Sandy
histClose.emplace_back(29, October, 2012); // Hurricane Sandy
histClose.emplace_back(11, June, 2004); // Reagan's funeral
histClose.emplace_back(14, September, 2001); // September 11, 2001
histClose.emplace_back(13, September, 2001); // September 11, 2001
histClose.emplace_back(12, September, 2001); // September 11, 2001
histClose.emplace_back(11, September, 2001); // September 11, 2001
histClose.emplace_back(27, April, 1994); // Nixon's funeral.
histClose.emplace_back(27, September, 1985); // Hurricane Gloria
histClose.emplace_back(14, July, 1977); // 1977 Blackout
histClose.emplace_back(25, January, 1973); // Johnson's funeral.
histClose.emplace_back(28, December, 1972); // Truman's funeral
histClose.emplace_back(21, July, 1969); // Lunar exploration nat. day
histClose.emplace_back(31, March, 1969); // Eisenhower's funeral
histClose.emplace_back(10, February, 1969); // heavy snow
histClose.emplace_back(5, July, 1968); // Day after Independence Day
histClose.emplace_back(9, April, 1968); // Mourning for MLK
histClose.emplace_back(24, December, 1965); // Christmas Eve
histClose.emplace_back(25, November, 1963); // Kennedy's funeral
histClose.emplace_back(29, May, 1961); // Day before Decoration Day
histClose.emplace_back(26, December, 1958); // Day after Christmas
histClose.emplace_back(24, December, 1956); // Christmas Eve
histClose.emplace_back(24, December, 1954); // Christmas Eve
// June 12-Dec. 31, 1968
// Four day week (closed on Wednesdays) - Paperwork Crisis
histClose.emplace_back(12, Jun, 1968);
histClose.emplace_back(19, Jun, 1968);
histClose.emplace_back(26, Jun, 1968);
histClose.emplace_back(3, Jul, 1968);
histClose.emplace_back(10, Jul, 1968);
histClose.emplace_back(17, Jul, 1968);
histClose.emplace_back(20, Nov, 1968);
histClose.emplace_back(27, Nov, 1968);
histClose.emplace_back(4, Dec, 1968);
histClose.emplace_back(11, Dec, 1968);
histClose.emplace_back(18, Dec, 1968);
// Presidential election days
histClose.emplace_back(4, Nov, 1980);
histClose.emplace_back(2, Nov, 1976);
histClose.emplace_back(7, Nov, 1972);
histClose.emplace_back(5, Nov, 1968);
histClose.emplace_back(3, Nov, 1964);
for (i = 0; i < histClose.size(); i++) {
if (!c.isHoliday(histClose[i]))
BOOST_FAIL(histClose[i] << " should be holiday (historical close)");
}
}
BOOST_AUTO_TEST_CASE(testSOFR) {
BOOST_TEST_MESSAGE("Testing holidays for SOFR...");
// Good Friday
for (const Date goodFriday :
{Date(14, April, 2017), Date(30, March, 2018), Date(19, April, 2019),
Date(10, April, 2020), Date(2, April, 2021), Date(15, April, 2022), Date(7, April, 2023),
Date(29, March, 2024), Date(18, April, 2025), Date(3, April, 2026), Date(26, March, 2027),
Date(14, April, 2028), Date(30, March, 2029), Date(19, April, 2030),
Date(11, April, 2031)})
BOOST_TEST(UnitedStates(UnitedStates::SOFR).isHoliday(goodFriday));
}
BOOST_AUTO_TEST_CASE(testUSFederalReserveJuneteenth) {
BOOST_TEST_MESSAGE("Testing holiday occurrence of Juneteenth for US Federal Reserve calendar...");
auto fedCalendar = UnitedStates(UnitedStates::FederalReserve);
std::vector<Date> expectedHol;
// Sunday, moved to Monday 20th: expectedHol.emplace_back(19, June, 2022);
expectedHol.emplace_back(20, June, 2022);
expectedHol.emplace_back(19, June, 2023);
expectedHol.emplace_back(19, June, 2024);
expectedHol.emplace_back(19, June, 2025);
// Saturday: expectedHol.emplace_back(19, June, 2026);
expectedHol.emplace_back(19, June, 2027);
expectedHol.emplace_back(19, June, 2028);
expectedHol.emplace_back(19, June, 2029);
expectedHol.emplace_back(19, June, 2030);
expectedHol.emplace_back(19, June, 2031);
// Saturday: expectedHol.emplace_back(19, June, 2032);
// Sunday, moved to Monday 20th: expectedHol.emplace_back(19, June, 2033);
expectedHol.emplace_back(20, June, 2033);
for (Date holiday : expectedHol) {
if (!fedCalendar.isHoliday(holiday))
BOOST_ERROR(holiday << " should be a holiday for " << fedCalendar.name());
}
Date notMovedToFriday(18, June, 2027);
if (fedCalendar.isHoliday(notMovedToFriday))
BOOST_ERROR(notMovedToFriday << " should not be a holiday for " << fedCalendar.name());
}
BOOST_AUTO_TEST_CASE(testTARGET) {
BOOST_TEST_MESSAGE("Testing TARGET holiday list...");
std::vector<Date> expectedHol;
expectedHol.emplace_back(1, January, 1999);
expectedHol.emplace_back(31, December, 1999);
expectedHol.emplace_back(21, April, 2000);
expectedHol.emplace_back(24, April, 2000);
expectedHol.emplace_back(1, May, 2000);
expectedHol.emplace_back(25, December, 2000);
expectedHol.emplace_back(26, December, 2000);
expectedHol.emplace_back(1, January, 2001);
expectedHol.emplace_back(13, April, 2001);
expectedHol.emplace_back(16, April, 2001);
expectedHol.emplace_back(1, May, 2001);
expectedHol.emplace_back(25, December, 2001);
expectedHol.emplace_back(26, December, 2001);
expectedHol.emplace_back(31, December, 2001);
expectedHol.emplace_back(1, January, 2002);
expectedHol.emplace_back(29, March, 2002);
expectedHol.emplace_back(1, April, 2002);
expectedHol.emplace_back(1, May, 2002);
expectedHol.emplace_back(25, December, 2002);
expectedHol.emplace_back(26, December, 2002);
expectedHol.emplace_back(1, January, 2003);
expectedHol.emplace_back(18, April, 2003);
expectedHol.emplace_back(21, April, 2003);
expectedHol.emplace_back(1, May, 2003);
expectedHol.emplace_back(25, December, 2003);
expectedHol.emplace_back(26, December, 2003);
expectedHol.emplace_back(1, January, 2004);
expectedHol.emplace_back(9, April, 2004);
expectedHol.emplace_back(12, April, 2004);
expectedHol.emplace_back(25, March, 2005);
expectedHol.emplace_back(28, March, 2005);
expectedHol.emplace_back(26, December, 2005);
expectedHol.emplace_back(14, April, 2006);
expectedHol.emplace_back(17, April, 2006);
expectedHol.emplace_back(1, May, 2006);
expectedHol.emplace_back(25, December, 2006);
expectedHol.emplace_back(26, December, 2006);
Calendar c = TARGET();
std::vector<Date> hol = c.holidayList(Date(1, January, 1999), Date(31, December, 2006));
for (Size i = 0; i < std::min<Size>(hol.size(), expectedHol.size()); i++) {
if (hol[i] != expectedHol[i])
BOOST_FAIL("expected holiday was " << expectedHol[i] << " while calculated holiday is "
<< hol[i]);
}
if (hol.size() != expectedHol.size())
BOOST_FAIL("there were " << expectedHol.size() << " expected holidays, while there are "
<< hol.size() << " calculated holidays");
}
BOOST_AUTO_TEST_CASE(testGermanyFrankfurt) {
BOOST_TEST_MESSAGE("Testing Frankfurt Stock Exchange holiday list...");
std::vector<Date> expectedHol;
expectedHol.emplace_back(1, January, 2003);
expectedHol.emplace_back(18, April, 2003);
expectedHol.emplace_back(21, April, 2003);
expectedHol.emplace_back(1, May, 2003);
expectedHol.emplace_back(24, December, 2003);
expectedHol.emplace_back(25, December, 2003);
expectedHol.emplace_back(26, December, 2003);
expectedHol.emplace_back(1, January, 2004);
expectedHol.emplace_back(9, April, 2004);
expectedHol.emplace_back(12, April, 2004);
expectedHol.emplace_back(24, December, 2004);
Calendar c = Germany(Germany::FrankfurtStockExchange);
std::vector<Date> hol = c.holidayList(Date(1, January, 2003), Date(31, December, 2004));
for (Size i = 0; i < std::min<Size>(hol.size(), expectedHol.size()); i++) {
if (hol[i] != expectedHol[i])
BOOST_FAIL("expected holiday was " << expectedHol[i] << " while calculated holiday is "
<< hol[i]);
}
if (hol.size() != expectedHol.size())
BOOST_FAIL("there were " << expectedHol.size() << " expected holidays, while there are "
<< hol.size() << " calculated holidays");
}
BOOST_AUTO_TEST_CASE(testGermanyEurex) {
BOOST_TEST_MESSAGE("Testing Eurex holiday list...");
std::vector<Date> expectedHol;
expectedHol.emplace_back(1, January, 2003);
expectedHol.emplace_back(18, April, 2003);
expectedHol.emplace_back(21, April, 2003);
expectedHol.emplace_back(1, May, 2003);
expectedHol.emplace_back(24, December, 2003);
expectedHol.emplace_back(25, December, 2003);
expectedHol.emplace_back(26, December, 2003);
expectedHol.emplace_back(31, December, 2003);
expectedHol.emplace_back(1, January, 2004);
expectedHol.emplace_back(9, April, 2004);
expectedHol.emplace_back(12, April, 2004);
expectedHol.emplace_back(24, December, 2004);
expectedHol.emplace_back(31, December, 2004);
Calendar c = Germany(Germany::Eurex);
std::vector<Date> hol = c.holidayList(Date(1, January, 2003), Date(31, December, 2004));
for (Size i = 0; i < std::min<Size>(hol.size(), expectedHol.size()); i++) {
if (hol[i] != expectedHol[i])
BOOST_FAIL("expected holiday was " << expectedHol[i] << " while calculated holiday is "
<< hol[i]);
}
if (hol.size() != expectedHol.size())
BOOST_FAIL("there were " << expectedHol.size() << " expected holidays, while there are "
<< hol.size() << " calculated holidays");
}
BOOST_AUTO_TEST_CASE(testGermanyXetra) {
BOOST_TEST_MESSAGE("Testing Xetra holiday list...");
std::vector<Date> expectedHol;
expectedHol.emplace_back(1, January, 2003);
expectedHol.emplace_back(18, April, 2003);
expectedHol.emplace_back(21, April, 2003);
expectedHol.emplace_back(1, May, 2003);
expectedHol.emplace_back(24, December, 2003);
expectedHol.emplace_back(25, December, 2003);
expectedHol.emplace_back(26, December, 2003);
expectedHol.emplace_back(1, January, 2004);
expectedHol.emplace_back(9, April, 2004);
expectedHol.emplace_back(12, April, 2004);
expectedHol.emplace_back(24, December, 2004);
Calendar c = Germany(Germany::Xetra);
std::vector<Date> hol = c.holidayList(Date(1, January, 2003), Date(31, December, 2004));
for (Size i = 0; i < std::min<Size>(hol.size(), expectedHol.size()); i++) {
if (hol[i] != expectedHol[i])
BOOST_FAIL("expected holiday was " << expectedHol[i] << " while calculated holiday is "
<< hol[i]);
}
if (hol.size() != expectedHol.size())
BOOST_FAIL("there were " << expectedHol.size() << " expected holidays, while there are "
<< hol.size() << " calculated holidays");
}
BOOST_AUTO_TEST_CASE(testUKSettlement) {
BOOST_TEST_MESSAGE("Testing UK settlement holiday list...");
std::vector<Date> expectedHol;
expectedHol.emplace_back(1, January, 2004);
expectedHol.emplace_back(9, April, 2004);
expectedHol.emplace_back(12, April, 2004);
expectedHol.emplace_back(3, May, 2004);
expectedHol.emplace_back(31, May, 2004);
expectedHol.emplace_back(30, August, 2004);
expectedHol.emplace_back(27, December, 2004);
expectedHol.emplace_back(28, December, 2004);
expectedHol.emplace_back(3, January, 2005);
expectedHol.emplace_back(25, March, 2005);
expectedHol.emplace_back(28, March, 2005);
expectedHol.emplace_back(2, May, 2005);
expectedHol.emplace_back(30, May, 2005);
expectedHol.emplace_back(29, August, 2005);
expectedHol.emplace_back(26, December, 2005);
expectedHol.emplace_back(27, December, 2005);
expectedHol.emplace_back(2, January, 2006);
expectedHol.emplace_back(14, April, 2006);
expectedHol.emplace_back(17, April, 2006);
expectedHol.emplace_back(1, May, 2006);
expectedHol.emplace_back(29, May, 2006);
expectedHol.emplace_back(28, August, 2006);
expectedHol.emplace_back(25, December, 2006);
expectedHol.emplace_back(26, December, 2006);
expectedHol.emplace_back(1, January, 2007);
expectedHol.emplace_back(6, April, 2007);
expectedHol.emplace_back(9, April, 2007);
expectedHol.emplace_back(7, May, 2007);
expectedHol.emplace_back(28, May, 2007);
expectedHol.emplace_back(27, August, 2007);
expectedHol.emplace_back(25, December, 2007);
expectedHol.emplace_back(26, December, 2007);
Calendar c = UnitedKingdom(UnitedKingdom::Settlement);
std::vector<Date> hol = c.holidayList(Date(1, January, 2004), Date(31, December, 2007));
for (Size i = 0; i < std::min<Size>(hol.size(), expectedHol.size()); i++) {
if (hol[i] != expectedHol[i])
BOOST_FAIL("expected holiday was " << expectedHol[i] << " while calculated holiday is "
<< hol[i]);
}
if (hol.size() != expectedHol.size())
BOOST_FAIL("there were " << expectedHol.size() << " expected holidays, while there are "
<< hol.size() << " calculated holidays");
}
BOOST_AUTO_TEST_CASE(testUKExchange) {
BOOST_TEST_MESSAGE("Testing London Stock Exchange holiday list...");
std::vector<Date> expectedHol;
expectedHol.emplace_back(1, January, 2004);
expectedHol.emplace_back(9, April, 2004);
expectedHol.emplace_back(12, April, 2004);
expectedHol.emplace_back(3, May, 2004);
expectedHol.emplace_back(31, May, 2004);
expectedHol.emplace_back(30, August, 2004);
expectedHol.emplace_back(27, December, 2004);
expectedHol.emplace_back(28, December, 2004);
expectedHol.emplace_back(3, January, 2005);
expectedHol.emplace_back(25, March, 2005);
expectedHol.emplace_back(28, March, 2005);
expectedHol.emplace_back(2, May, 2005);
expectedHol.emplace_back(30, May, 2005);
expectedHol.emplace_back(29, August, 2005);
expectedHol.emplace_back(26, December, 2005);
expectedHol.emplace_back(27, December, 2005);
expectedHol.emplace_back(2, January, 2006);
expectedHol.emplace_back(14, April, 2006);
expectedHol.emplace_back(17, April, 2006);
expectedHol.emplace_back(1, May, 2006);
expectedHol.emplace_back(29, May, 2006);
expectedHol.emplace_back(28, August, 2006);
expectedHol.emplace_back(25, December, 2006);
expectedHol.emplace_back(26, December, 2006);
expectedHol.emplace_back(1, January, 2007);
expectedHol.emplace_back(6, April, 2007);
expectedHol.emplace_back(9, April, 2007);
expectedHol.emplace_back(7, May, 2007);
expectedHol.emplace_back(28, May, 2007);
expectedHol.emplace_back(27, August, 2007);
expectedHol.emplace_back(25, December, 2007);
expectedHol.emplace_back(26, December, 2007);
Calendar c = UnitedKingdom(UnitedKingdom::Exchange);
std::vector<Date> hol = c.holidayList(Date(1, January, 2004), Date(31, December, 2007));
for (Size i = 0; i < std::min<Size>(hol.size(), expectedHol.size()); i++) {
if (hol[i] != expectedHol[i])
BOOST_FAIL("expected holiday was " << expectedHol[i] << " while calculated holiday is "
<< hol[i]);
}
if (hol.size() != expectedHol.size())
BOOST_FAIL("there were " << expectedHol.size() << " expected holidays, while there are "
<< hol.size() << " calculated holidays");
}
BOOST_AUTO_TEST_CASE(testUKMetals) {
BOOST_TEST_MESSAGE("Testing London Metals Exchange holiday list...");
std::vector<Date> expectedHol;
expectedHol.emplace_back(1, January, 2004);
expectedHol.emplace_back(9, April, 2004);
expectedHol.emplace_back(12, April, 2004);
expectedHol.emplace_back(3, May, 2004);
expectedHol.emplace_back(31, May, 2004);
expectedHol.emplace_back(30, August, 2004);
expectedHol.emplace_back(27, December, 2004);
expectedHol.emplace_back(28, December, 2004);
expectedHol.emplace_back(3, January, 2005);
expectedHol.emplace_back(25, March, 2005);
expectedHol.emplace_back(28, March, 2005);
expectedHol.emplace_back(2, May, 2005);
expectedHol.emplace_back(30, May, 2005);
expectedHol.emplace_back(29, August, 2005);
expectedHol.emplace_back(26, December, 2005);
expectedHol.emplace_back(27, December, 2005);
expectedHol.emplace_back(2, January, 2006);
expectedHol.emplace_back(14, April, 2006);
expectedHol.emplace_back(17, April, 2006);
expectedHol.emplace_back(1, May, 2006);
expectedHol.emplace_back(29, May, 2006);
expectedHol.emplace_back(28, August, 2006);
expectedHol.emplace_back(25, December, 2006);
expectedHol.emplace_back(26, December, 2006);
expectedHol.emplace_back(1, January, 2007);
expectedHol.emplace_back(6, April, 2007);
expectedHol.emplace_back(9, April, 2007);
expectedHol.emplace_back(7, May, 2007);
expectedHol.emplace_back(28, May, 2007);
expectedHol.emplace_back(27, August, 2007);
expectedHol.emplace_back(25, December, 2007);
expectedHol.emplace_back(26, December, 2007);
Calendar c = UnitedKingdom(UnitedKingdom::Metals);
std::vector<Date> hol = c.holidayList(Date(1, January, 2004), Date(31, December, 2007));
for (Size i = 0; i < std::min<Size>(hol.size(), expectedHol.size()); i++) {
if (hol[i] != expectedHol[i])
BOOST_FAIL("expected holiday was " << expectedHol[i] << " while calculated holiday is "
<< hol[i]);
}
if (hol.size() != expectedHol.size())
BOOST_FAIL("there were " << expectedHol.size() << " expected holidays, while there are "
<< hol.size() << " calculated holidays");
}
BOOST_AUTO_TEST_CASE(testItalyExchange) {
BOOST_TEST_MESSAGE("Testing Milan Stock Exchange holiday list...");
std::vector<Date> expectedHol;
expectedHol.emplace_back(1, January, 2002);
expectedHol.emplace_back(29, March, 2002);
expectedHol.emplace_back(1, April, 2002);
expectedHol.emplace_back(1, May, 2002);
expectedHol.emplace_back(15, August, 2002);
expectedHol.emplace_back(24, December, 2002);
expectedHol.emplace_back(25, December, 2002);
expectedHol.emplace_back(26, December, 2002);
expectedHol.emplace_back(31, December, 2002);
expectedHol.emplace_back(1, January, 2003);
expectedHol.emplace_back(18, April, 2003);
expectedHol.emplace_back(21, April, 2003);
expectedHol.emplace_back(1, May, 2003);
expectedHol.emplace_back(15, August, 2003);
expectedHol.emplace_back(24, December, 2003);
expectedHol.emplace_back(25, December, 2003);
expectedHol.emplace_back(26, December, 2003);
expectedHol.emplace_back(31, December, 2003);
expectedHol.emplace_back(1, January, 2004);
expectedHol.emplace_back(9, April, 2004);
expectedHol.emplace_back(12, April, 2004);
expectedHol.emplace_back(24, December, 2004);
expectedHol.emplace_back(31, December, 2004);
Calendar c = Italy(Italy::Exchange);
std::vector<Date> hol = c.holidayList(Date(1, January, 2002), Date(31, December, 2004));
for (Size i = 0; i < std::min<Size>(hol.size(), expectedHol.size()); i++) {
if (hol[i] != expectedHol[i])
BOOST_FAIL("expected holiday was " << expectedHol[i] << " while calculated holiday is "
<< hol[i]);
}
if (hol.size() != expectedHol.size())
BOOST_FAIL("there were " << expectedHol.size() << " expected holidays, while there are "
<< hol.size() << " calculated holidays");
}
BOOST_AUTO_TEST_CASE(testRussia) {
BOOST_TEST_MESSAGE("Testing Russia holiday list...");
std::vector<Date> expectedHol;
// exhaustive holiday list for the year 2012
expectedHol.emplace_back(1, January, 2012);
expectedHol.emplace_back(2, January, 2012);
expectedHol.emplace_back(7, January, 2012);
expectedHol.emplace_back(8, January, 2012);
expectedHol.emplace_back(14, January, 2012);
expectedHol.emplace_back(15, January, 2012);
expectedHol.emplace_back(21, January, 2012);
expectedHol.emplace_back(22, January, 2012);
expectedHol.emplace_back(28, January, 2012);
expectedHol.emplace_back(29, January, 2012);
expectedHol.emplace_back(4, February, 2012);
expectedHol.emplace_back(5, February, 2012);
expectedHol.emplace_back(11, February, 2012);
expectedHol.emplace_back(12, February, 2012);
expectedHol.emplace_back(18, February, 2012);
expectedHol.emplace_back(19, February, 2012);
expectedHol.emplace_back(23, February, 2012);
expectedHol.emplace_back(25, February, 2012);
expectedHol.emplace_back(26, February, 2012);
expectedHol.emplace_back(3, March, 2012);
expectedHol.emplace_back(4, March, 2012);
expectedHol.emplace_back(8, March, 2012);
expectedHol.emplace_back(9, March, 2012);
expectedHol.emplace_back(10, March, 2012);
expectedHol.emplace_back(17, March, 2012);
expectedHol.emplace_back(18, March, 2012);
expectedHol.emplace_back(24, March, 2012);
expectedHol.emplace_back(25, March, 2012);
expectedHol.emplace_back(31, March, 2012);
expectedHol.emplace_back(1, April, 2012);
expectedHol.emplace_back(7, April, 2012);
expectedHol.emplace_back(8, April, 2012);
expectedHol.emplace_back(14, April, 2012);
expectedHol.emplace_back(15, April, 2012);
expectedHol.emplace_back(21, April, 2012);
expectedHol.emplace_back(22, April, 2012);
expectedHol.emplace_back(29, April, 2012);
expectedHol.emplace_back(30, April, 2012);
expectedHol.emplace_back(1, May, 2012);
expectedHol.emplace_back(6, May, 2012);
expectedHol.emplace_back(9, May, 2012);
expectedHol.emplace_back(13, May, 2012);
expectedHol.emplace_back(19, May, 2012);
expectedHol.emplace_back(20, May, 2012);
expectedHol.emplace_back(26, May, 2012);
expectedHol.emplace_back(27, May, 2012);
expectedHol.emplace_back(2, June, 2012);
expectedHol.emplace_back(3, June, 2012);
expectedHol.emplace_back(10, June, 2012);
expectedHol.emplace_back(11, June, 2012);
expectedHol.emplace_back(12, June, 2012);
expectedHol.emplace_back(16, June, 2012);
expectedHol.emplace_back(17, June, 2012);
expectedHol.emplace_back(23, June, 2012);
expectedHol.emplace_back(24, June, 2012);
expectedHol.emplace_back(30, June, 2012);
expectedHol.emplace_back(1, July, 2012);
expectedHol.emplace_back(7, July, 2012);
expectedHol.emplace_back(8, July, 2012);
expectedHol.emplace_back(14, July, 2012);
expectedHol.emplace_back(15, July, 2012);
expectedHol.emplace_back(21, July, 2012);
expectedHol.emplace_back(22, July, 2012);
expectedHol.emplace_back(28, July, 2012);
expectedHol.emplace_back(29, July, 2012);
expectedHol.emplace_back(4, August, 2012);
expectedHol.emplace_back(5, August, 2012);
expectedHol.emplace_back(11, August, 2012);
expectedHol.emplace_back(12, August, 2012);
expectedHol.emplace_back(18, August, 2012);
expectedHol.emplace_back(19, August, 2012);
expectedHol.emplace_back(25, August, 2012);
expectedHol.emplace_back(26, August, 2012);
expectedHol.emplace_back(1, September, 2012);
expectedHol.emplace_back(2, September, 2012);
expectedHol.emplace_back(8, September, 2012);
expectedHol.emplace_back(9, September, 2012);
expectedHol.emplace_back(15, September, 2012);
expectedHol.emplace_back(16, September, 2012);
expectedHol.emplace_back(22, September, 2012);
expectedHol.emplace_back(23, September, 2012);
expectedHol.emplace_back(29, September, 2012);
expectedHol.emplace_back(30, September, 2012);
expectedHol.emplace_back(6, October, 2012);
expectedHol.emplace_back(7, October, 2012);
expectedHol.emplace_back(13, October, 2012);
expectedHol.emplace_back(14, October, 2012);
expectedHol.emplace_back(20, October, 2012);
expectedHol.emplace_back(21, October, 2012);
expectedHol.emplace_back(27, October, 2012);
expectedHol.emplace_back(28, October, 2012);
expectedHol.emplace_back(3, November, 2012);
expectedHol.emplace_back(4, November, 2012);
expectedHol.emplace_back(5, November, 2012);
expectedHol.emplace_back(10, November, 2012);
expectedHol.emplace_back(11, November, 2012);
expectedHol.emplace_back(17, November, 2012);
expectedHol.emplace_back(18, November, 2012);
expectedHol.emplace_back(24, November, 2012);
expectedHol.emplace_back(25, November, 2012);
expectedHol.emplace_back(1, December, 2012);
expectedHol.emplace_back(2, December, 2012);
expectedHol.emplace_back(8, December, 2012);
expectedHol.emplace_back(9, December, 2012);
expectedHol.emplace_back(15, December, 2012);
expectedHol.emplace_back(16, December, 2012);
expectedHol.emplace_back(22, December, 2012);
expectedHol.emplace_back(23, December, 2012);
expectedHol.emplace_back(29, December, 2012);
expectedHol.emplace_back(30, December, 2012);
expectedHol.emplace_back(31, December, 2012);
// exhaustive holiday list for the year 2013
expectedHol.emplace_back(1, January, 2013);
expectedHol.emplace_back(2, January, 2013);
expectedHol.emplace_back(3, January, 2013);
expectedHol.emplace_back(4, January, 2013);
expectedHol.emplace_back(5, January, 2013);
expectedHol.emplace_back(6, January, 2013);
expectedHol.emplace_back(7, January, 2013);
expectedHol.emplace_back(12, January, 2013);
expectedHol.emplace_back(13, January, 2013);
expectedHol.emplace_back(19, January, 2013);
expectedHol.emplace_back(20, January, 2013);
expectedHol.emplace_back(26, January, 2013);
expectedHol.emplace_back(27, January, 2013);
expectedHol.emplace_back(2, February, 2013);
expectedHol.emplace_back(3, February, 2013);
expectedHol.emplace_back(9, February, 2013);
expectedHol.emplace_back(10, February, 2013);
expectedHol.emplace_back(16, February, 2013);
expectedHol.emplace_back(17, February, 2013);
expectedHol.emplace_back(23, February, 2013);
expectedHol.emplace_back(24, February, 2013);
expectedHol.emplace_back(2, March, 2013);
expectedHol.emplace_back(3, March, 2013);
expectedHol.emplace_back(8, March, 2013);
expectedHol.emplace_back(9, March, 2013);
expectedHol.emplace_back(10, March, 2013);
expectedHol.emplace_back(16, March, 2013);
expectedHol.emplace_back(17, March, 2013);
expectedHol.emplace_back(23, March, 2013);
expectedHol.emplace_back(24, March, 2013);
expectedHol.emplace_back(30, March, 2013);
expectedHol.emplace_back(31, March, 2013);
expectedHol.emplace_back(6, April, 2013);
expectedHol.emplace_back(7, April, 2013);
expectedHol.emplace_back(13, April, 2013);
expectedHol.emplace_back(14, April, 2013);
expectedHol.emplace_back(20, April, 2013);
expectedHol.emplace_back(21, April, 2013);
expectedHol.emplace_back(27, April, 2013);
expectedHol.emplace_back(28, April, 2013);
expectedHol.emplace_back(1, May, 2013);
expectedHol.emplace_back(4, May, 2013);
expectedHol.emplace_back(5, May, 2013);
expectedHol.emplace_back(9, May, 2013);
expectedHol.emplace_back(11, May, 2013);
expectedHol.emplace_back(12, May, 2013);
expectedHol.emplace_back(18, May, 2013);
expectedHol.emplace_back(19, May, 2013);
expectedHol.emplace_back(25, May, 2013);
expectedHol.emplace_back(26, May, 2013);
expectedHol.emplace_back(1, June, 2013);
expectedHol.emplace_back(2, June, 2013);
expectedHol.emplace_back(8, June, 2013);
expectedHol.emplace_back(9, June, 2013);
expectedHol.emplace_back(12, June, 2013);
expectedHol.emplace_back(15, June, 2013);
expectedHol.emplace_back(16, June, 2013);
expectedHol.emplace_back(22, June, 2013);
expectedHol.emplace_back(23, June, 2013);
expectedHol.emplace_back(29, June, 2013);
expectedHol.emplace_back(30, June, 2013);
expectedHol.emplace_back(6, July, 2013);
expectedHol.emplace_back(7, July, 2013);
expectedHol.emplace_back(13, July, 2013);
expectedHol.emplace_back(14, July, 2013);
expectedHol.emplace_back(20, July, 2013);
expectedHol.emplace_back(21, July, 2013);
expectedHol.emplace_back(27, July, 2013);
expectedHol.emplace_back(28, July, 2013);
expectedHol.emplace_back(3, August, 2013);
expectedHol.emplace_back(4, August, 2013);
expectedHol.emplace_back(10, August, 2013);
expectedHol.emplace_back(11, August, 2013);
expectedHol.emplace_back(17, August, 2013);
expectedHol.emplace_back(18, August, 2013);
expectedHol.emplace_back(24, August, 2013);
expectedHol.emplace_back(25, August, 2013);
expectedHol.emplace_back(31, August, 2013);
expectedHol.emplace_back(1, September, 2013);
expectedHol.emplace_back(7, September, 2013);
expectedHol.emplace_back(8, September, 2013);
expectedHol.emplace_back(14, September, 2013);
expectedHol.emplace_back(15, September, 2013);
expectedHol.emplace_back(21, September, 2013);
expectedHol.emplace_back(22, September, 2013);
expectedHol.emplace_back(28, September, 2013);
expectedHol.emplace_back(29, September, 2013);
expectedHol.emplace_back(5, October, 2013);
expectedHol.emplace_back(6, October, 2013);
expectedHol.emplace_back(12, October, 2013);
expectedHol.emplace_back(13, October, 2013);
expectedHol.emplace_back(19, October, 2013);
expectedHol.emplace_back(20, October, 2013);
expectedHol.emplace_back(26, October, 2013);
expectedHol.emplace_back(27, October, 2013);
expectedHol.emplace_back(2, November, 2013);
expectedHol.emplace_back(3, November, 2013);
expectedHol.emplace_back(4, November, 2013);
expectedHol.emplace_back(9, November, 2013);
expectedHol.emplace_back(10, November, 2013);
expectedHol.emplace_back(16, November, 2013);
expectedHol.emplace_back(17, November, 2013);
expectedHol.emplace_back(23, November, 2013);
expectedHol.emplace_back(24, November, 2013);
expectedHol.emplace_back(30, November, 2013);
expectedHol.emplace_back(1, December, 2013);