Add docstring with references for US-FED calendar

lballabio · Dec 18, 2023 · 9160717 · 9160717
1 parent fa81ccf
commit 9160717
Show file tree

Hide file tree

Showing 2 changed files with 25 additions and 1 deletion.
diff --git a/ql/time/calendars/unitedstates.cpp b/ql/time/calendars/unitedstates.cpp
@@ -6,6 +6,7 @@
  Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl
  Copyright (C) 2017 Peter Caspers
  Copyright (C) 2017 Oleg Kulkov
+ Copyright (C) 2023 Skandinaviska Enskilda Banken AB (publ)
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -35,7 +36,7 @@ namespace QuantLib {
                 // third Monday in February
                 return (d >= 15 && d <= 21) && w == Monday && m == February;
             } else {
-                // February 22nd, possily adjusted
+                // February 22nd, possibly adjusted
                 return (d == 22 || (d == 23 && w == Monday)
                         || (d == 21 && w == Friday)) && m == February;
             }

diff --git a/ql/time/calendars/unitedstates.hpp b/ql/time/calendars/unitedstates.hpp
@@ -6,6 +6,7 @@
  Copyright (C) 2004 Ferdinando Ametrano
  Copyright (C) 2017 Peter Caspers
  Copyright (C) 2017 Oleg Kulkov
+ Copyright (C) 2023 Skandinaviska Enskilda Banken AB (publ)
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -125,6 +126,28 @@ namespace QuantLib {
         <li>Christmas, December 25th (moved to Monday if Sunday)</li>
         </ul>
 
+        Holidays for the Federal Reserve Bankwire System
+        (data from https://www.federalreserve.gov/aboutthefed/k8.htm
+        and https://www.frbservices.org/about/holiday-schedules):
+         <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
+            1983)</li>
+        <li>Presidents' Day (a.k.a. Washington's birthday),
+            third Monday in February</li>
+        <li>Memorial Day, last Monday in May</li>
+        <li>Juneteenth, June 19th (moved to Monday if Sunday)</li>
+        <li>Independence Day, July 4th (moved to Monday if Sunday)</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)</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