United States calendars. More...
#include <ql/time/calendars/unitedstates.hpp>
Inheritance diagram for UnitedStates:Public Types | |
| enum | Market { Settlement, NYSE, GovernmentBond, NERC, LiborImpact, FederalReserve } |
| US calendars. More... | |
Public Member Functions | |
| UnitedStates (Market market=Settlement) | |
Public Member Functions inherited from Calendar | |
| Calendar () | |
| bool | empty () const |
| Returns whether or not the calendar is initialized. | |
| std::string | name () const |
| Returns the name of the calendar. More... | |
| const std::set< Date > & | addedHolidays () const |
| const std::set< Date > & | removedHolidays () const |
| bool | isBusinessDay (const Date &d) const |
| bool | isHoliday (const Date &d) const |
| bool | isWeekend (Weekday w) const |
| bool | isEndOfMonth (const Date &d) const |
| Date | endOfMonth (const Date &d) const |
| last business day of the month to which the given date belongs | |
| void | addHoliday (const Date &) |
| void | removeHoliday (const Date &) |
| std::vector< Date > | holidayList (const Date &from, const Date &to, bool includeWeekEnds=false) const |
| std::vector< Date > | businessDayList (const Date &from, const Date &to) const |
| Date | adjust (const Date &, BusinessDayConvention convention=Following) const |
| Date | advance (const Date &, Integer n, TimeUnit unit, BusinessDayConvention convention=Following, bool endOfMonth=false) const |
| Date | advance (const Date &date, const Period &period, BusinessDayConvention convention=Following, bool endOfMonth=false) const |
| Date::serial_type | businessDaysBetween (const Date &from, const Date &to, bool includeFirst=true, bool includeLast=false) const |
Additional Inherited Members | |
Static Public Member Functions inherited from Calendar | |
| static QL_DEPRECATED std::vector< Date > | holidayList (const Calendar &calendar, const Date &from, const Date &to, bool includeWeekEnds=false) |
Protected Attributes inherited from Calendar | |
| ext::shared_ptr< Impl > | impl_ |
Related Functions inherited from Calendar | |
| bool | operator== (const Calendar &, const Calendar &) |
| bool | operator!= (const Calendar &, const Calendar &) |
| std::ostream & | operator<< (std::ostream &, const Calendar &) |
United States calendars.
Public holidays (see: http://www.opm.gov/fedhol/):
Note that since 2015 Independence Day only impacts Libor if it falls on a weekday (see https://www.theice.com/iba/libor, https://www.theice.com/marketdata/reports/170 and https://www.theice.com/publicdocs/LIBOR_Holiday_Calendar_2015.pdf for the fixing and value date calendars).
Holidays for the stock exchange (data from http://www.nyse.com):
Holidays for the government bond market (data from http://www.bondmarkets.com):
Holidays for the North American Energy Reliability Council (data from http://www.nerc.com/~oc/offpeaks.html):