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Stop moving Juneteenth to Friday if Saturday for US-Fed calendar #1848

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merged 2 commits into from
Dec 19, 2023
Merged

Stop moving Juneteenth to Friday if Saturday for US-Fed calendar #1848

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fa81ccf
Stop moving Juneteenth to Friday if Saturday for Fed
gbfredrik Dec 12, 2023
9160717
Add docstring with references for US-FED calendar
gbfredrik Dec 18, 2023
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11 changes: 6 additions & 5 deletions ql/time/calendars/unitedstates.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -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/
Expand Down Expand Up @@ -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;
}
Expand Down Expand Up @@ -84,9 +85,9 @@ namespace QuantLib {
}
}

bool isJuneteenth(Day d, Month m, Year y, Weekday w) {
bool isJuneteenth(Day d, Month m, Year y, Weekday w, bool moveToFriday = true) {
// declared in 2021, but only observed by exchanges since 2022
return (d == 19 || (d == 20 && w == Monday) || (d == 18 && w == Friday))
return (d == 19 || (d == 20 && w == Monday) || ((d == 18 && w == Friday) && moveToFriday))
&& m == June && y >= 2022;
}
}
Expand Down Expand Up @@ -363,8 +364,8 @@ namespace QuantLib {
|| isWashingtonBirthday(d, m, y, w)
// Memorial Day (last Monday in May)
|| isMemorialDay(d, m, y, w)
// Juneteenth (Monday if Sunday or Friday if Saturday)
|| isJuneteenth(d, m, y, w)
// Juneteenth (Monday if Sunday)
|| isJuneteenth(d, m, y, w, false)
// Independence Day (Monday if Sunday)
|| ((d == 4 || (d == 5 && w == Monday)) && m == July)
// Labor Day (first Monday in September)
Expand Down
23 changes: 23 additions & 0 deletions ql/time/calendars/unitedstates.hpp
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Original file line number Diff line number Diff line change
Expand Up @@ -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/
Expand Down Expand Up @@ -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
Expand Down
30 changes: 30 additions & 0 deletions test-suite/calendars.cpp
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Expand Up @@ -387,6 +387,36 @@ BOOST_AUTO_TEST_CASE(testSOFR) {
BOOST_ERROR(testDate << " should not be a fixing date for " << sofr.name());
}

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...");

Expand Down