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South Korea Calendar - modification proposed

by Big-Boong :: Rate this Message:

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I am proposing to modify the South Korea Calender, QuantLib::SouthKorea.

 

Attached files cantain my proposed modification.

See southkorea.hpp and southkorea.cpp.

There are also testing routines of the modified class,

in southkoreancalendar_test.hpp and southkoreancalendar_test.cpp.

 

Main diferences of my implementation from the current QuantLib::SouthKorea (version 0.9.0) are as flows:

- added Settlement case, where was KRX case only

- abolished Arbor Day (after 2006) and Constitution Day (after 2008) from public holidays

- added election days for national assembly, presidency and regional election.

- added year-end closing days (KRX only)

 

I wish quantlib-dev companions chech the proposition.

 

Regards,

 

Charles Chongseok Hyun.

(from South Korea)




Meritz Securities Co. LTD.
Manager/OTC Derivatives Management Team
T. +82-2-6309-4875, C. +82-16-541-5807
25-1, Yoido-dong, Youngdeungpo-ku, Seoul, Korea 150-878

ordeeq@...

[나의 라이브러리, 한메일] 카드메일로 봄날의 설레임을 전하세요.!

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

/*
 Copyright (C) 2004 FIMAT Group
 Copyright (C) 2007 StatPro Italia srl
 Copyright (C) 2008 Charles Chongseok Hyun (ordeeq@...)

 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
 <quantlib-dev@...>. 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 southkorea.hpp
    \brief South Korean calendars
*/

#ifndef quantlib_south_korean_calendar_hpp
#define quantlib_south_korean_calendar_hpp

#include <ql/time/calendar.hpp>

namespace QuantLib {

    //! South Korean calendars
    /*! Public holidays with definite rules:
        <ul>
        <li>Saturdays</li>
        <li>Sundays</li>
        <li>New Year's Day, January 1st</li>
        <li>Independence Day, March 1st</li>
        <li>Children's Day, May 5th</li>
        <li>Memorial Day, June 6th</li>
        <li>Liberation Day, August 15th</li>
        <li>National Fondation Day, October 3th</li>
        <li>Christmas Day, December 25th</li>
        </ul>

        Other public holidays for which no rule is given
        (data available for 2004-2010 only):
        <ul>
        <li>Lunar New Year: The last day of the previous lunar year, January 1st, 2nd in lunar calendar</li>
        <li>Election Days
                <ul>
                <li>National Assembly: 2004-APR-15, 2008-APR-09</li>
                <li>Presidency: 2007-DEC-19</li>
                <li>Regional Election: 2006-MAY-31</li>
                </ul>
        <li>Buddha's birthday, April 8th in lunar calendar</li>
        <li>Harvest Moon Day: August 14th, 15th, 16th in lunar calendar</li>
        </ul>

                <B>Holidays for settlements</B>:
        <ul>
                <li>All public holidays listed above</li>
        <li>Labour Day, May 1st</li>
        </ul>

                <B>Holidays for the Korea exchange</B>
        (data from <http://www.krx.co.kr> or
                <http://www.dooriworld.com/daishin/holiday/holiday.html>):
        <ul>
                <li>All public holidays listed above
        <li>Labour Day, May 1st</li>
        <li>Year-end closing: 2004-DEC-31, 2005-DEC-30, 2006-DEC-29, 2007-DEC-31</li>
        </ul>

                <B>Important changes!!!</B>:
        <ul>
        <li>Arbour Day, April 5th: a holiday until 2005, not a holiday after 2005</li>
        <li>Constitution Day, July 17th: a holiday until 2007, not a holiday after 2008</li>
        </ul>

        \ingroup calendars
    */
    class SouthKorea : public Calendar {
      private:
                //! SettlementImpl represents South Korean public holidays.
        class SettlementImpl : public Calendar::Impl {
          public:
                    SettlementImpl() : calendarName_("South Korean settlement"){}

            virtual std::string name() const { return calendarName_; }
                        virtual bool isWeekend(Weekday) const;
            virtual bool isBusinessDay(const Date&) const;
                  protected:
                    //! Constructor
                    /*! This constructor is for the sake of calling from subclasses.
                        */
                    SettlementImpl(const std::string& calendarName) : calendarName_(calendarName){}
                  protected:
      std::string calendarName_;
        };

                /*!
                  KrxImpl inherits SettlementImpl
                  because all KRX business days are also settlement business days.
                */
        class KrxImpl : public SettlementImpl {
          public:
                    KrxImpl() : SettlementImpl(std::string("South Korean settlement")){}
            virtual bool isBusinessDay(const Date&) const;
        };
      public:
        enum Market { Settlement,   //!< generic settlement calendar
                                          KRX //!< Korea exchange calendar
        };
        SouthKorea(Market m = Settlement);
    };

}

#endif

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

/*
 Copyright (C) 2004 FIMAT Group
 Copyright (C) 2007 StatPro Italia srl
 Copyright (C) 2008 Charles Chongseok Hyun (ordeeq@...)

 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
 <quantlib-dev@...>. 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.
*/

#include "southkorea.hpp"
#include <ql/errors.hpp>

namespace QuantLib {

    SouthKorea::SouthKorea(Market market) {
                typedef boost::shared_ptr<Calendar::Impl> t_ptr_cal_impl;

                // all calendar instances share the same implementation instance
        static t_ptr_cal_impl settlementImpl(new SouthKorea::SettlementImpl);
        static t_ptr_cal_impl krxImpl(new SouthKorea::KrxImpl);

        switch (market) {
          case Settlement:
            impl_ = settlementImpl;
            break;
          case KRX:
            impl_ = krxImpl;
            break;
          default:
            QL_FAIL("unknown market");
        }
    }

    bool SouthKorea::SettlementImpl::isWeekend(Weekday w) const {
        return w == Saturday || w == Sunday;
    }

    bool SouthKorea::SettlementImpl::isBusinessDay(const Date& date) const {
        Weekday w = date.weekday();
        Day d = date.dayOfMonth();
        Month m = date.month();
        Year y = date.year();

        if (isWeekend(w)
            // New Year's Day
            || (d == 1 && m == January)
            // Independence Day
            || (d == 1 && m == March)
            // Labor Day
            || (d == 1 && m == May)
            // Children's Day
            || (d == 5 && m == May)
            // Memorial Day
            || (d == 6 && m == June)
            // Liberation Day
            || (d == 15 && m == August)
            // National Foundation Day
            || (d == 3 && m == October)
            // Christmas Day
            || (d == 25 && m == December)

            // Lunar New Year 2004
            || ((d == 21 || d==22 || d==23 || d==24 || d==26 )
                && m == January && y==2004)
            || ((d == 8 || d==9 || d==10) && m == February && y==2005)
            || ((d==29 || d==30 || d==31 ) && m == January && y==2006)
            || (d==19 && m == February && y==2007)
            || ((6==d || 7==d || 8==d) && February==m && 2008==y)
            || ((25==d || 26==d || 27==d) && January==m && 2009==y)
            || ((13==d || 14==d || 15==d) && February==m && 2010==y)
            // Election Day
            || (15==d && April==m && 2004==y) //National Assembly
            || (9==d && April==m && 2008==y)
            || (19==d && December==m && 2007==y) //Presidency
            || (31==d && May==m && 2006==y) //Regional election
            // Buddha's birthday
            || (d == 26 && m == May && 2004==y)
            || (d == 15 && m == May && 2005==y)
            || (d == 5 && m == May && 2006==y)
            || (d == 24 && m == May && 2007==y)
            || (12==d && May==m && 2008==y)
            || (2==d && May==m && 2009==y)
            || (21==d && May==m && 2010==y)
            // Harvest Moon Day
            || ((d == 27 || d == 28 || d == 29) && m == September && y==2004)
            || ((d == 17 || d == 18 || d == 19) && m == September && y==2005)
            || ((d == 5 || d == 6 || d == 7) && m == October && y==2006)
            || ((d == 24 || d == 25 || d == 26) && m == September && y==2007)
            || ((13==d || 14==d || 15==d) && September==m && 2008==y)
            || ((2==d || 3==d || 4==d) && October==m && 2009==y)
            || ((21==d || 22==d || 23==d) && September==m && 2010==y)
            )
            return false;

                // changes from the South Korean national holiday system
                if (
            // Arbour Day
            (5==d && April==m && y < 2006)
            // Constitution Day
            || (17==d && July==m && y < 2008) )
                        return false;

        return true;
    }

    bool SouthKorea::KrxImpl::isBusinessDay(const Date& date) const {
        Weekday w = date.weekday();
        Day d = date.dayOfMonth();
        Month m = date.month();
        Year y = date.year();

                // Check settlement business day
                if ( !SettlementImpl::isBusinessDay(date) )
                        return false;

                // Year-end closing
                if (
                        (31==d && December==m && 2004==y)
            || (30==d && December==m && 2005==y)
            || (29==d && December==m && 2006==y)
            || (30==d && December==m && 2007==y)
            )
            return false;

        return true;
        }

}


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

/*
 Copyright (C) 2008 Charles Chongseok Hyun (ordeeq@...)

 This file is for the purpose of testing QuantLib::SouthKorea,
 which has been modified from the class with same name in QuantLib version 0.9.0
 by Charles Chongseok Hyun.
 Contact the modifier by email with 'ordeeq@...' for more details.
*/

#pragma once

#include <boost/test/unit_test.hpp>

/* remember to document new and/or updated tests in the Doxygen
   comment block of the corresponding class */

class CalendarPatchTest {
public:

        //! South Korean Settlement calendar
        static void testSouthKoreanSettlement();

        //! Korea Stock Exchange calendar (http://www.krx.co.kr)
        static void testKoreaStockExchange();

        //! Make a bundle of test functions
    static boost::unit_test_framework::test_suite* suite();
};

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

/*
 Copyright (C) 2008 Charles Chongseok Hyun (ordeeq@...)

 This file is for the purpose of testing QuantLib::SouthKorea,
 which has been modified from the class with same name in QuantLib version 0.9.0
 by Charles Chongseok Hyun.
 Contact the modifier by email with 'ordeeq@...' for more details.
*/

#include "southkoreancalendar_test.hpp"
#include "southkorea.hpp"
#include <ql/errors.hpp>
#include <fstream>

using namespace QuantLib;
using namespace boost::unit_test_framework;

void CalendarPatchTest::testSouthKoreanSettlement() {
    BOOST_MESSAGE("Testing South Korean settlement holiday list...");

    std::vector<Date> expectedHol;
    expectedHol.push_back(Date(1,January,2004));
    expectedHol.push_back(Date(21,January,2004));
    expectedHol.push_back(Date(22,January,2004));
    expectedHol.push_back(Date(23,January,2004));
    expectedHol.push_back(Date(1,March,2004));
    expectedHol.push_back(Date(5,April,2004));
    expectedHol.push_back(Date(15,April,2004)); //election day
//    expectedHol.push_back(Date(1,May,2004)); // Saterday
    expectedHol.push_back(Date(5,May,2004));
    expectedHol.push_back(Date(26,May,2004));
//    expectedHol.push_back(Date(6,June,2004)); // Sunday
//    expectedHol.push_back(Date(17,July,2004)); // Saturday
//    expectedHol.push_back(Date(15,August,2004)); // Sunday
    expectedHol.push_back(Date(27,September,2004));
    expectedHol.push_back(Date(28,September,2004));
    expectedHol.push_back(Date(29,September,2004));
//    expectedHol.push_back(Date(3,October,2004)); // Sunday
//    expectedHol.push_back(Date(25,December,2004)); // Saturday

//    expectedHol.push_back(Date(1,January,2005)); // Saturday
    expectedHol.push_back(Date(8,February,2005));
    expectedHol.push_back(Date(9,February,2005));
    expectedHol.push_back(Date(10,February,2005));
    expectedHol.push_back(Date(1,March,2005));
    expectedHol.push_back(Date(5,April,2005));
    expectedHol.push_back(Date(5,May,2005));
//    expectedHol.push_back(Date(15,May,2005)); // Sunday
    expectedHol.push_back(Date(6,June,2005));
//    expectedHol.push_back(Date(17,July,2005)); // Sunday
    expectedHol.push_back(Date(15,August,2005));
//    expectedHol.push_back(Date(17,September,2005)); // Saturday
//    expectedHol.push_back(Date(18,September,2005)); // Sunday
    expectedHol.push_back(Date(19,September,2005));
    expectedHol.push_back(Date(3,October,2005));
//    expectedHol.push_back(Date(25,December,2005)); // Sunday

//    expectedHol.push_back(Date(1,January,2006)); // Sunday
//    expectedHol.push_back(Date(28,January,2006)); // Saturday
//    expectedHol.push_back(Date(29,January,2006)); // Sunday
    expectedHol.push_back(Date(30,January,2006));
    expectedHol.push_back(Date(1,March,2006));
    expectedHol.push_back(Date(1,May,2006));
    expectedHol.push_back(Date(5,May,2006));
    expectedHol.push_back(Date(31,May,2006)); // election
    expectedHol.push_back(Date(6,June,2006));
    expectedHol.push_back(Date(17,July,2006));
    expectedHol.push_back(Date(15,August,2006));
    expectedHol.push_back(Date(3,October,2006));
    expectedHol.push_back(Date(5,October,2006));
    expectedHol.push_back(Date(6,October,2006));
//    expectedHol.push_back(Date(7,October,2006)); // Saturday
    expectedHol.push_back(Date(25,December,2006));

    expectedHol.push_back(Date(1,January,2007));
//    expectedHol.push_back(Date(17,February,2007)); // Saturday
//    expectedHol.push_back(Date(18,February,2007)); // Sunday
    expectedHol.push_back(Date(19,February,2007));
    expectedHol.push_back(Date(1,March,2007));
    expectedHol.push_back(Date(1,May,2007));
//    expectedHol.push_back(Date(5,May,2007)); // Saturday
    expectedHol.push_back(Date(24,May,2007));
    expectedHol.push_back(Date(6,June,2007));
    expectedHol.push_back(Date(17,July,2007));
    expectedHol.push_back(Date(15,August,2007));
    expectedHol.push_back(Date(24,September,2007));
    expectedHol.push_back(Date(25,September,2007));
    expectedHol.push_back(Date(26,September,2007));
    expectedHol.push_back(Date(3,October,2007));
    expectedHol.push_back(Date(19,December,2007)); // election
    expectedHol.push_back(Date(25,December,2007));

        Calendar c = SouthKorea(SouthKorea::Settlement);
    std::vector<Date> hol = Calendar::holidayList(c, Date( 1, January, 2004),
                                                     Date(31,December, 2007));
    for (Size i=0; i<std::min<Size>(hol.size(), expectedHol.size()); i++) {
        if (hol[i]!=expectedHol[i])
            BOOST_FAIL("expected holiday was " << expectedHol[i]
                       << " while calculated holiday is " << hol[i]);
    }
    if (hol.size()!=expectedHol.size())
        BOOST_FAIL("there were " << expectedHol.size()
                   << " expected holidays, while there are " << hol.size()
                   << " calculated holidays");
}

void CalendarPatchTest::testKoreaStockExchange() {
    BOOST_MESSAGE("Testing New York Stock Exchange holiday list...");

    std::vector<Date> expectedHol;
    expectedHol.push_back(Date(1,January,2004));
    expectedHol.push_back(Date(21,January,2004));
    expectedHol.push_back(Date(22,January,2004));
    expectedHol.push_back(Date(23,January,2004));
    expectedHol.push_back(Date(1,March,2004));
    expectedHol.push_back(Date(5,April,2004));
    expectedHol.push_back(Date(15,April,2004)); //election day
//    expectedHol.push_back(Date(1,May,2004)); // Saterday
    expectedHol.push_back(Date(5,May,2004));
    expectedHol.push_back(Date(26,May,2004));
//    expectedHol.push_back(Date(6,June,2004)); // Sunday
//    expectedHol.push_back(Date(17,July,2004)); // Saturday
//    expectedHol.push_back(Date(15,August,2004)); // Sunday
    expectedHol.push_back(Date(27,September,2004));
    expectedHol.push_back(Date(28,September,2004));
    expectedHol.push_back(Date(29,September,2004));
//    expectedHol.push_back(Date(3,October,2004)); // Sunday
//    expectedHol.push_back(Date(25,December,2004)); // Saturday
    expectedHol.push_back(Date(31,December,2004));

//    expectedHol.push_back(Date(1,January,2005)); // Saturday
    expectedHol.push_back(Date(8,February,2005));
    expectedHol.push_back(Date(9,February,2005));
    expectedHol.push_back(Date(10,February,2005));
    expectedHol.push_back(Date(1,March,2005));
    expectedHol.push_back(Date(5,April,2005));
    expectedHol.push_back(Date(5,May,2005));
//    expectedHol.push_back(Date(15,May,2005)); // Sunday
    expectedHol.push_back(Date(6,June,2005));
//    expectedHol.push_back(Date(17,July,2005)); // Sunday
    expectedHol.push_back(Date(15,August,2005));
//    expectedHol.push_back(Date(17,September,2005)); // Saturday
//    expectedHol.push_back(Date(18,September,2005)); // Sunday
    expectedHol.push_back(Date(19,September,2005));
    expectedHol.push_back(Date(3,October,2005));
//    expectedHol.push_back(Date(25,December,2005)); // Sunday
    expectedHol.push_back(Date(30,December,2005));

//    expectedHol.push_back(Date(1,January,2006)); // Sunday
//    expectedHol.push_back(Date(28,January,2006)); // Saturday
//    expectedHol.push_back(Date(29,January,2006)); // Sunday
    expectedHol.push_back(Date(30,January,2006));
    expectedHol.push_back(Date(1,March,2006));
    expectedHol.push_back(Date(1,May,2006));
    expectedHol.push_back(Date(5,May,2006));
    expectedHol.push_back(Date(31,May,2006)); // election
    expectedHol.push_back(Date(6,June,2006));
    expectedHol.push_back(Date(17,July,2006));
    expectedHol.push_back(Date(15,August,2006));
    expectedHol.push_back(Date(3,October,2006));
    expectedHol.push_back(Date(5,October,2006));
    expectedHol.push_back(Date(6,October,2006));
//    expectedHol.push_back(Date(7,October,2006)); // Saturday
    expectedHol.push_back(Date(25,December,2006));
    expectedHol.push_back(Date(29,December,2006));

    expectedHol.push_back(Date(1,January,2007));
//    expectedHol.push_back(Date(17,February,2007)); // Saturday
//    expectedHol.push_back(Date(18,February,2007)); // Sunday
    expectedHol.push_back(Date(19,February,2007));
    expectedHol.push_back(Date(1,March,2007));
    expectedHol.push_back(Date(1,May,2007));
//    expectedHol.push_back(Date(5,May,2007)); // Saturday
    expectedHol.push_back(Date(24,May,2007));
    expectedHol.push_back(Date(6,June,2007));
    expectedHol.push_back(Date(17,July,2007));
    expectedHol.push_back(Date(15,August,2007));
    expectedHol.push_back(Date(24,September,2007));
    expectedHol.push_back(Date(25,September,2007));
    expectedHol.push_back(Date(26,September,2007));
    expectedHol.push_back(Date(3,October,2007));
    expectedHol.push_back(Date(19,December,2007)); // election
    expectedHol.push_back(Date(25,December,2007));
    expectedHol.push_back(Date(31,December,2007));

        Calendar c = SouthKorea(SouthKorea::KRX);
    std::vector<Date> hol = Calendar::holidayList(c, Date(1,January,2004),
                                           Date(31,December,2007));

    Size i;
    for (i=0; i<std::min<Size>(hol.size(), expectedHol.size()); i++) {
        if (hol[i]!=expectedHol[i])
            BOOST_FAIL("expected holiday was " << expectedHol[i]
                       << " while calculated holiday is " << hol[i]);
    }
    if (hol.size()!=expectedHol.size())
        BOOST_FAIL("there were " << expectedHol.size()
                   << " expected holidays, while there are " << hol.size()
                   << " calculated holidays");
}

test_suite* CalendarPatchTest::suite() {
    test_suite* suite = BOOST_TEST_SUITE("South Korean calendar tests");

    suite->add(BOOST_TEST_CASE(&CalendarPatchTest::testSouthKoreanSettlement));
   
        suite->add(BOOST_TEST_CASE(&CalendarPatchTest::testKoreaStockExchange));

    return suite;
}

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