QuantLib_UnitedStates

Langue: en

Autres versions - même langue

Version: 158025 (fedora - 05/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::UnitedStates - United States calendars.

SYNOPSIS


#include <ql/time/calendars/unitedstates.hpp>

Inherits QuantLib::Calendar.

Public Types


enum Market { Settlement, NYSE, GovernmentBond, NERC }
US calendars.

Public Member Functions


UnitedStates (Market market=Settlement)

Detailed Description

United States calendars.

Public holidays (see: http://www.opm.gov/fedhol/):

•
Saturdays
•
Sundays
•
New Year's Day, January 1st (possibly moved to Monday if actually on Sunday, or to Friday if on Saturday)
•
Martin Luther King's birthday, third Monday in January
•
Presidents' Day (a.k.a. Washington's birthday), third Monday in February
•
Memorial Day, last Monday in May
•
Independence Day, July 4th (moved to Monday if Sunday or Friday if Saturday)
•
Labor Day, first Monday in September
•
Columbus Day, second Monday in October
•
Veterans' Day, November 11th (moved to Monday if Sunday or Friday if Saturday)
•
Thanksgiving Day, fourth Thursday in November
•
Christmas, December 25th (moved to Monday if Sunday or Friday if Saturday)

Holidays for the stock exchange (data from http://www.nyse.com):

•
Saturdays
•
Sundays
•
New Year's Day, January 1st (possibly moved to Monday if actually on Sunday)
•
Martin Luther King's birthday, third Monday in January (since 1998)
•
Presidents' Day (a.k.a. Washington's birthday), third Monday in February
•
Good Friday
•
Memorial Day, last Monday in May
•
Independence Day, July 4th (moved to Monday if Sunday or Friday if Saturday)
•
Labor Day, first Monday in September
•
Thanksgiving Day, fourth Thursday in November
•
Presidential election day, first Tuesday in November of election years (until 1980)
•
Christmas, December 25th (moved to Monday if Sunday or Friday if Saturday)
•
Special historic closings (see http://www.nyse.com/pdfs/closings.pdf)

Holidays for the government bond market (data from http://www.bondmarkets.com):

•
Saturdays
•
Sundays
•
New Year's Day, January 1st (possibly moved to Monday if actually on Sunday)
•
Martin Luther King's birthday, third Monday in January
•
Presidents' Day (a.k.a. Washington's birthday), third Monday in February
•
Good Friday
•
Memorial Day, last Monday in May
•
Independence Day, July 4th (moved to Monday if Sunday or Friday if Saturday)
•
Labor Day, first Monday in September
•
Columbus Day, second Monday in October
•
Veterans' Day, November 11th (moved to Monday if Sunday or Friday if Saturday)
•
Thanksgiving Day, fourth Thursday in November
•
Christmas, December 25th (moved to Monday if Sunday or Friday if Saturday)

Holidays for the North American Energy Reliability Council (data from http://www.nerc.com/~oc/offpeaks.html):

•
Saturdays
•
Sundays
•
New Year's Day, January 1st (possibly moved to Monday if actually on Sunday)
•
Memorial Day, last Monday in May
•
Independence Day, July 4th (moved to Monday if Sunday)
•
Labor Day, first Monday in September
•
Thanksgiving Day, fourth Thursday in November
•
Christmas, December 25th (moved to Monday if Sunday)

Tests

the correctness of the returned results is tested against a list of known holidays.

Examples:

Bonds.cpp, and CallableBonds.cpp.

Member Enumeration Documentation

enum Market

US calendars.

Enumerator:

Settlement
generic settlement calendar
NYSE
New York stock exchange calendar.
GovernmentBond
government-bond calendar
NERC
off-peak days for NERC

Author

Generated automatically by Doxygen for QuantLib from the source code.