Calendar and Holidays

Calendars and holidays for a given currency, stock exchange, etc. More...

Classes
class	julian::CADHoliday
	Holidays set for CAD currency. More...
class	julian::Calendar
	Class implements calendar object. More...
class	julian::BuildCalendar
	Class implements builder design pattern supporting construction of calendars. More...
class	julian::CHFHoliday
	Holidays set for CHF currency. More...
class	julian::CorpusChristi
	Corpus Christi. More...
class	julian::CZKHoliday
	Holidays set for CZK currency. More...
class	julian::EasterMonday
	Easter Monday. More...
class	julian::EURHoliday
	TARGET2 holiday set. More...
class	julian::FixedHoliday
	Fixed date holiday. More...
class	julian::GoodFriday
	Good Friday. More...
class	julian::Holiday
	Class is an abstract class expressing the concept of holiday calendar for different currencies and stock exchange. More...
class	julian::HUFHoliday
	Holidays set for HUF currency. More...
class	julian::PLNHoliday
	Holidays set for PLN currency. More...
class	julian::SettlementDateConvention
	Interface for classes implementing settlement date conventions. More...
class	julian::SettlementFromExpiry
	Class calculating settlement date from expiry date. More...
class	julian::SettlementFromSpot
	Class calculating settlement date from expiry date. More...
class	julian::USDHoliday
	Holidays set for USD currency. More...
class	julian::WhitMonday
	Whit Monday. More...

Enumerations
enum	julian::DayRollingConvention {   julian::FOLLOWING, julian::PRECEDING, julian::MODIFIEDFOLLOWING, julian::MODIFIEDPRECEDING,   julian::UNADJUSTED, julian::NEAREST }

Functions
template<class Archive >
void	julian::serialize (Archive &ar, DayRollingConvention &g, const unsigned int version)
	interface used by Boost serialization library More...
Date	julian::EasterForAGivenYear (int year)
	Function calculating Easter date for a given year. More...

Detailed Description

Calendars and holidays for a given currency, stock exchange, etc.

The financial contracts have to start and be settled on business day. Apart from Saturdays and Sundays, every currency/stock exchange/market has additional non-working days- usually religious or public holidays. Module contains definition of holidays and set of holidays that allow to correctly established the commence and maturity of a contract.

Enumeration Type Documentation

enum julian::DayRollingConvention

Enumeration contains names of day rolling convention that are used to adjust the payment date if payment is occurring at non-business day.

Enumerator
FOLLOWING	Move to the next working day
PRECEDING	Move to the previous working day
MODIFIEDFOLLOWING	Move to the next working day, unless this day extends to a next month, in that case the previous working day is used.
MODIFIEDPRECEDING	Move to the previous working day, unless this day extends to a previous month, in that case the next working day is used.
UNADJUSTED	Leave date unchanged
NEAREST	Move to the nearest working day (prefer the next working day).

Function Documentation

Date julian::EasterForAGivenYear

(

int

year

)

Function calculating Easter date for a given year.

Easter date is calculated according to algorithm presented by C.F. Gauss.

a = year mod 19

b = year mod 4

c = year mod 7

d = 19a + 24

e = 2b + 4c + 6d + X mod 7

n = e + d

Then Easter is n days from 22MAR. For years 1900 - 2099 X = 5. For years 2100-2199 X = 6 There are few exceptions from this algorithm (1954, 1981, 2049, 2076, 2106, 2133)

Parameters

year	An integer describing the year.

Returns

A date of Easter for a given year.

template<class Archive >

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

interface used by Boost serialization library