Dates, calendar and holidays

Dates and everything else. More...

Modules
	Calendar and Holidays
	Calendars and holidays for a given currency, stock exchange, etc.
	Time Grid
	Time grids and time discretization patterns.
	Year Fractions
	Year fraction calculators.

Classes
class	julian::Date
	Class implements a date object. More...
class	julian::Tenor
	Class implements a tenor object. More...

Enumerations
enum	julian::TimeUnit {   DAY, WEEK, MONTH, QUARTER,   YEAR, OVERNIGHT, TOMORROWNEXT, SPOTDATE,   TODAY, SPOTNEXT }
enum	julian::Weekday {   MON = 2, TUE = 3, WED = 4, THU = 5,   FRI = 6, SAT = 0, SUN = 1 }
enum	julian::Frequency {   NOFREQ = 0, MONTHLY = 1, QUARTERLY = 3, SEMIANNUALLY = 6,   ANNUALLY = 12 }
enum	julian::NameOfMonth {   JAN = 1, FEB = 2, MAR = 3, APR = 4,   MAY = 5, JUN = 6, JUL = 7, AUG = 8,   SEP = 9, OCT = 10, NOV = 11, DEC = 12 }

Functions
template<class Archive >
void	julian::serialize (Archive &ar, TimeUnit &g, const unsigned int version)
	interface used by Boost serialization library More...
std::ostream &	julian::operator<< (std::ostream &os, Frequency &f)
	Overloading << operator for Frequency enumeration. More...

Detailed Description

Dates and everything else.

Module contains date, time units and tenor classes. It also contains the calendar class that allows to calculate the tenor according to specific day rolling convention, spot lag value and set of holidays. In this module the year fraction calculators are also gathered.

Enumeration Type Documentation

enum julian::Frequency

Frequency enumeration encapsulates the concept of frequency. It is helpful in constructing financial instruments such as bonds or swaps. The numbers represent number of months in every Frequency.

enum julian::NameOfMonth

Enumeration contains the name of months. Months have number values that enables those types to be use in date creation:

Date d1(2015,OCT,28); 
Date d2(2011,JAN,13);
Date d3(2020,MAR,1);

enum julian::TimeUnit

TimeUnit represent the units of time, such as Day, Week, Month, Quarter and Year. The enumeration contains also pseudo-tenors such as OverNight, TommorowNext, Today, SpotNext and SpotDate. Those names are degenerated tenors and cannot be used in all situations. This is because the properly usage of this tenors requires defining holidays and weekends. They were defined to obtain unified method of constructing financial instruments.

enum julian::Weekday

Weekday enumeration contains the names of days of the week. The number value of each day is: Saturday = 0, Sunday = 1, Monday = 2, ... , Friday = 6. The numbers are set in such way because they are the result of calculating date.number mod 7 (1900-JAN-01 was Sunday). If one wants to check if for example 2015-10-28 is Friday he/she can write:

Date d(2015, OCT, 28); 
if(d.dateNumber() % 7 == FRI) { 
  std::cout<<"Friday!";
} else { 
  std::cout<<"Sorry, but ... no!";
}

Function Documentation

std::ostream& julian::operator<< ( std::ostream &  os, Frequency &  f  )

inline

Overloading << operator for Frequency enumeration.

template<class Archive >

void julian::serialize	(	Archive &	ar,
		TimeUnit &	g,
		const unsigned int	version
	)

interface used by Boost serialization library