unitedstates.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2004 Ferdinando Ametrano
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl

 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
 <[e-mail]>. 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.
*/

/*! \file unitedstates.hpp
    \brief US calendars
*/

#ifndef quantlib_united_states_calendar_hpp
#define quantlib_united_states_calendar_hpp

#include <ql/time/calendar.hpp>

namespace QuantLib {

    //! United States calendars
    /*! Public holidays (see: http://www.opm.gov/fedhol/):
        <ul>
        <li>Saturdays</li>
        <li>Sundays</li>
        <li>New Year's Day, January 1st (possibly moved to Monday if
            actually on Sunday, or to Friday if on Saturday)</li>
        <li>Martin Luther King's birthday, third Monday in January</li>
        <li>Presidents' Day (a.k.a. Washington's birthday),
		    third Monday in February</li>
        <li>Memorial Day, last Monday in May</li>
        <li>Independence Day, July 4th (moved to Monday if Sunday or
            Friday if Saturday)</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 or
            Friday if Saturday)</li>
        <li>Thanksgiving Day, fourth Thursday in November</li>
        <li>Christmas, December 25th (moved to Monday if Sunday or Friday
            if Saturday)</li>
        </ul>

        Holidays for the stock exchange (data from http://www.nyse.com):
        <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
            1998)</li>
        <li>Presidents' Day (a.k.a. Washington's birthday),
		    third Monday in February</li>
        <li>Good Friday</li>
        <li>Memorial Day, last Monday in May</li>
        <li>Independence Day, July 4th (moved to Monday if Sunday or
            Friday if Saturday)</li>
        <li>Labor Day, first Monday in September</li>
        <li>Thanksgiving Day, fourth Thursday in November</li>
        <li>Presidential election day, first Tuesday in November of election
            years (until 1980)</li>
        <li>Christmas, December 25th (moved to Monday if Sunday or Friday
            if Saturday)</li>
        <li>Special historic closings (see
            http://www.nyse.com/about/1022221392381.html )</li>
        </ul>

        Holidays for the government bond market (data from
        http://www.bondmarkets.com):
        <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</li>
        <li>Presidents' Day (a.k.a. Washington's birthday),
		    third Monday in February</li>
        <li>Good Friday</li>
        <li>Memorial Day, last Monday in May</li>
        <li>Independence Day, July 4th (moved to Monday if Sunday or
            Friday if Saturday)</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 or
            Friday if Saturday)</li>
        <li>Thanksgiving Day, fourth Thursday in November</li>
        <li>Christmas, December 25th (moved to Monday if Sunday or Friday
            if Saturday)</li>
        </ul>

        Holidays for the North American Energy Reliability Council
        (data from http://www.nerc.com/~oc/offpeaks.html):
        <ul>
        <li>Saturdays</li>
        <li>Sundays</li>
        <li>New Year's Day, January 1st (possibly moved to Monday if
            actually on Sunday)</li>
        <li>Memorial Day, last Monday in May</li>
        <li>Independence Day, July 4th (moved to Monday if Sunday)</li>
        <li>Labor Day, first Monday in September</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
              against a list of known holidays.
    */
    class UnitedStates : public Calendar {
      private:
        class SettlementImpl : public Calendar::WesternImpl {
          public:
            std::string name() const { return "US settlement"; }
            bool isBusinessDay(const Date&) const;
        };
        class NyseImpl : public Calendar::WesternImpl {
          public:
            std::string name() const { return "New York stock exchange"; }
            bool isBusinessDay(const Date&) const;
        };
        class GovernmentBondImpl : public Calendar::WesternImpl {
          public:
            std::string name() const { return "US government bond market"; }
            bool isBusinessDay(const Date&) const;
        };
        class NercImpl : public Calendar::WesternImpl {
          public:
            std::string name() const {
                return "North American Energy Reliability Council";
            }
            bool isBusinessDay(const Date&) const;
        };
      public:
        //! US calendars
        enum Market { Settlement,     //!< generic settlement calendar
                      NYSE,           //!< New York stock exchange calendar
                      GovernmentBond, //!< government-bond calendar
                      NERC            //!< off-peak days for NERC
        };
        UnitedStates(Market market = Settlement);
    };

}


#endif