Class implements calendar object. More...

#include <calendar.hpp>

Public Member Functions
	Calendar ()
	Constructor. More...

	Calendar (DayRollingConvention, int, const std::vector< Date > &, const std::vector< Date > &, const std::vector< SmartPointer< Holiday > > &, bool end_of_month, const SmartPointer< SettlementDateConvention > &)
	Constructor. More...

bool	isBusinessDay (const Date &) const
	Method returns true if a given date is business day and false otherwise. More...

bool	isHoliday (const Date &) const
	Method returns true if a given date is holiday and false otherwise. More...

bool	isWeekend (const Date &) const
	Method returns true if a given date is a Saturday or Sunday and false otherwise. More...

Date	adjust (const Date &) const
	Method adjusts a date according to a given day rolling convention. More...

int	businessDaysBetween (const Date &, const Date &) const
	Method returns number of business days between date1 and date2. More...

int	numberOfHolidaysBetween (const Date &, const Date &) const
	Method returns number of holidays between date1 and date2. More...

Date	workingDays (const Date &, int) const
	Method returns nth working day from a given date. More...

Date	getSpot (const Date &) const
	Method returns spot date for a given date. More...

Date	getON (const Date &) const
	Method returns next working day of a calendar's date. More...

Date	getTN (const Date &) const
	Method returns second working day from a calendar's date. More...

Date	expiryDate (const Date &d, const Tenor &t) const

Date	settlementDate (const Date &d, const Tenor &t) const
	Calculates settlement date. More...

int	getSpotLag () const

bool	isEndOfMonth (const Date &) const

Date	getLastWorkingDateOfMonth (const Date &) const

Private Member Functions
template<class Archive >
void	serialize (Archive &ar, const unsigned int)
	interface used by Boost serialization library More...

Private Attributes
int	spot_lag_
	This integer define how many working days is between today date and spot date. More...

DayRollingConvention	day_rolling_convention_
	Variable defines the day rolling convention. More...

bool	end_of_month_
	Boolean variable defining if end of month convention is applied. More...

std::vector< Date >	business_days_
	Vector of dates that are recognized as working dates. More...

std::vector< Date >	holidays_dates_
	Vector of dates that are recognized as holidays. More...

std::vector< SmartPointer< Holiday > >	holidays_
	Vector of holidays objects (see Holiday). More...

SmartPointer< SettlementDateConvention >	settlement_
	This variable holds object defining settlement date convention. More...

Friends
class	boost::serialization::access

std::ostream &	operator<< (std::ostream &, Calendar &)

Detailed Description

Class implements calendar object.

This class provides methods for determining whether a date is a business day or a holiday. It also allows to increment or decrement a date of a given number of business days or by a given tenor. The calendar also provides methods for calculating number of working days/holidays between two dates.

Examples:: algebraicBootstrapperExample.cpp, bondsExample.cpp, bootstrapperComparison.cpp, constrainedBootstrapperExample.cpp, DatesAndCalendarExample.cpp, DepositExample.cpp, optionPricingExample.cpp, rootFindingBootstrapperExample.cpp, and unconstrainedBootstrapperExample.cpp.

Constructor & Destructor Documentation

julian::Calendar::Calendar ( )

Constructor.

Constructor creating calendar object on the basis of given date, day rolling convention and spot lag. Also three vectors that are used in process of establishing whether a day is business day are provided.

julian::Calendar::Calendar	(	DayRollingConvention	day_rolling_convention,
		int	spot_lag,
		const std::vector< Date > &	business_days,
		const std::vector< Date > &	holidays_dates,
		const std::vector< SmartPointer< Holiday > > &	holidays,
		bool	end_of_month,
		const SmartPointer< SettlementDateConvention > &	settlement
	)

Constructor.

Constructor creating calendar object on the basis of given date, day rolling convention and spot lag. Also three vectors that are used in process of establishing whether a day is business day are provided.

Member Function Documentation

Date julian::Calendar::adjust ( const Date & date ) const

Method adjusts a date according to a given day rolling convention.

int julian::Calendar::businessDaysBetween	(	const Date &	date1,
		const Date &	date2
	)		const

Method returns number of business days between date1 and date2.

Date julian::Calendar::expiryDate	(	const Date &	date,
		const Tenor &	t
	)		const

Method returns expiry date for a given start date and tenor. The calculation is performed according to settlement day convention provided is calendar construction process.

Warning: Expiry date can not be calculated for tenor like Spot Overnight, Tomorrow Next and Today.

Date julian::Calendar::getLastWorkingDateOfMonth ( const Date & d ) const

Method calculates the last working date of the month.

Date julian::Calendar::getON ( const Date & d ) const

Method returns next working day of a calendar's date.

Date julian::Calendar::getSpot ( const Date & aDate ) const

Method returns spot date for a given date.

int julian::Calendar::getSpotLag ( ) const

Returns spot lag

Date julian::Calendar::getTN ( const Date & d ) const

Method returns second working day from a calendar's date.

bool julian::Calendar::isBusinessDay ( const Date & input ) const

Method returns true if a given date is business day and false otherwise.

bool julian::Calendar::isEndOfMonth ( const Date & d ) const

Method returns true if the given date is the last working day of month.

bool julian::Calendar::isHoliday ( const Date & input ) const

Method returns true if a given date is holiday and false otherwise.

Firstly method checks if date is listed in set of holidays vector. Secondly method check if date is listed in set of business day vector.

Lastly it checks if date is holiday according to given Holiday objects.

bool julian::Calendar::isWeekend ( const Date & date ) const

Method returns true if a given date is a Saturday or Sunday and false otherwise.

int julian::Calendar::numberOfHolidaysBetween	(	const Date &	date1,
		const Date &	date2
	)		const

Method returns number of holidays between date1 and date2.

template<class Archive >

void julian::Calendar::serialize	(	Archive &	ar,
		const unsigned	int
	)

inlineprivate

interface used by Boost serialization library

Date julian::Calendar::settlementDate	(	const Date &	d,
		const Tenor &	t
	)		const

Calculates settlement date.

Method returns settlement date for a given start date and tenor. The calculation is performed according to settlement day convention provided is calendar construction process.

Date julian::Calendar::workingDays	(	const Date &	date,
		int	n
	)		const

Method returns nth working day from a given date.

Friends And Related Function Documentation

std::ostream& operator<<	(	std::ostream &	s,
		Calendar &	c
	)

friend

This is overloading of std::cout<< operator that allows to print object's informations on console.

Member Data Documentation

std::vector<Date> julian::Calendar::business_days_

private

Vector of dates that are recognized as working dates.

DayRollingConvention julian::Calendar::day_rolling_convention_

private

Variable defines the day rolling convention.

bool julian::Calendar::end_of_month_

private

Boolean variable defining if end of month convention is applied.

std::vector<SmartPointer<Holiday> > julian::Calendar::holidays_

private

Vector of holidays objects (see Holiday).

std::vector<Date> julian::Calendar::holidays_dates_

private

Vector of dates that are recognized as holidays.

SmartPointer<SettlementDateConvention> julian::Calendar::settlement_

private

This variable holds object defining settlement date convention.

int julian::Calendar::spot_lag_

private

This integer define how many working days is between today date and spot date.

The documentation for this class was generated from the following files:

C:/Unix/home/OEM/jULIAN/src/dates/calendars/calendar.hpp
C:/Unix/home/OEM/jULIAN/src/dates/calendars/calendar.cpp

Public Member Functions

Private Member Functions

Private Attributes

Friends

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation

Friends And Related Function Documentation

Member Data Documentation