South Korea Calendar - modification proposed
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South Korea Calendar - modification proposed
by Big-Boong
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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@...
/* -*- 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; } ------------------------------------------------------------------------- This SF.net email is sponsored by the 2008 JavaOne(SM) Conference Don't miss this year's exciting event. There's still time to save $100. Use priority code J8TL2D2. http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone _______________________________________________ QuantLib-dev mailing list QuantLib-dev@... https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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Re: South Korea Calendar - modification proposed
by Luigi Ballabio
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