Package org.jquantlib.time.calendars

Examples of org.jquantlib.time.calendars.UnitedKingdom

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    // http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412 :
    // UnitedKingdom::Exchange is the fixing calendar for
    // a) all currencies but EUR
    // b) all indexes but o/n and s/n
    super(familyName, tenor, settlementDays,
        currency, new UnitedKingdom(UnitedKingdom.Market.Exchange),
        liborConvention(tenor), liborEOM(tenor), dayCounter, h);
    financialCenterCalendar_ = financialCenterCalendar;
    jointCalendar_ = new JointCalendar(new UnitedKingdom(UnitedKingdom.Market.Exchange),
        financialCenterCalendar_,
        JointCalendarRule.JoinHolidays);
    QL.require(this.tenor().units()!= TimeUnit.Days,
        "for daily tenors (" + this.tenor() +
            ") dedicated DailyTenor constructor must be used");
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  public GBPLibor(final Period tenor,
      final Handle<YieldTermStructure> h) {
    super("GBPLibor", tenor, 0,
        new GBPCurrency(),
        new UnitedKingdom(UnitedKingdom.Market.Exchange),
        new Actual365Fixed(), h);
  }
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  public DailyTenorGBPLibor(final int settlementDays,
      final Handle<YieldTermStructure> h) {
    super("GBPLibor", settlementDays,
        new GBPCurrency(),
        new UnitedKingdom(UnitedKingdom.Market.Exchange),
        new Actual365Fixed(), h);
  }
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      final Handle<YieldTermStructure> h) {
      super(familyName,
          new Period(1,TimeUnit.Days),
          settlementDays,
          currency,
              new JointCalendar(new UnitedKingdom(Market.Exchange),
              new Target(),
              JointCalendarRule.JoinBusinessDays),
          liborConvention(new Period(1,TimeUnit.Days)),
          liborEOM(new Period(1,TimeUnit.Days)),
          dayCounter,
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    // b) all indexes but o/n and s/n
    super(familyName,
        tenor,
        settlementDays,
        currency,
        new UnitedKingdom(UnitedKingdom.Market.Exchange),
        liborConvention(tenor),
        liborEOM(tenor),
        dayCounter,
        h);
    this.financialCenterCalendar = financialCenterCalendar;
    this.jointCalendar = new JointCalendar(new UnitedKingdom(UnitedKingdom.Market.Exchange),
        financialCenterCalendar,
        JointCalendarRule.JoinHolidays);
    QL.require(this.tenor().units()!= TimeUnit.Days,
        "for daily tenors (" + this.tenor() + ") dedicated DailyTenor constructor must be used");
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    public EURLibor(final Period tenor, final Handle<YieldTermStructure> h) {
        super("EURLibor",
                tenor,
                2, // settlement days
                new EURCurrency(),
                new JointCalendar(new UnitedKingdom(Market.Exchange),
                          new Target(),
                          JointCalendarRule.JoinBusinessDays),
                eurliborConvention(tenor),
                eurliborEOM(tenor),
                new Actual360(),
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    public void testJointCalendars() {

      System.out.println("Testing joint calendars...");

        Calendar c1 = new Target(),
                 c2 = new UnitedKingdom(),
                 c3 = new UnitedStates(UnitedStates.Market.NYSE),
                 c4 = new Japan();

        Calendar c12h = new JointCalendar(c1,c2,JointCalendarRule.JoinHolidays),
                 c12b = new JointCalendar(c1,c2,JointCalendarRule.JoinBusinessDays),
                 c123h = new JointCalendar(c1,c2,c3,JointCalendarRule.JoinHolidays),
                 c123b = new JointCalendar(c1,c2,c3,JointCalendarRule.JoinBusinessDays),
                 c1234h = new JointCalendar(c1,c2,c3,c4,JointCalendarRule.JoinHolidays),
                 c1234b = new JointCalendar(c1,c2,c3,c4,JointCalendarRule.JoinBusinessDays);

        // test one year, starting today
        Date firstDate = Date.todaysDate(),
             endDate = firstDate.add(new Period(1, TimeUnit.Years));

        for (Date d = firstDate; d.lt(endDate); d.inc()) {

            boolean b1 = c1.isBusinessDay(d),
                 b2 = c2.isBusinessDay(d),
                 b3 = c3.isBusinessDay(d),
                 b4 = c4.isBusinessDay(d);

            if ((b1 && b2) != c12h.isBusinessDay(d))
              Assert.fail("At date " + d + ":\n"
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    private final Calendar exchange;

   
    public UnitedKingdomCalendarTest() {
        System.out.println("::::: " + this.getClass().getSimpleName() + " :::::");
        this.metals = new UnitedKingdom(UnitedKingdom.Market.Metals);
        this.settlement = new UnitedKingdom(UnitedKingdom.Market.Settlement);
        this.exchange = new UnitedKingdom(UnitedKingdom.Market.Exchange);
    }
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Related Classes of org.jquantlib.time.calendars.UnitedKingdom

  • org.jquantlib.indexes.EURLibor
  • org.jquantlib.indexes.ibor.DailyTenorGBPLibor
  • org.jquantlib.indexes.ibor.DailyTenorLibor
  • org.jquantlib.indexes.ibor.GBPLibor
  • org.jquantlib.indexes.ibor.Libor
  • org.jquantlib.testsuite.calendars.CalendarTest
  • org.jquantlib.testsuite.calendars.UnitedKingdomCalendarTest
  • org.jquantlib.time.Calendar
  • org.jquantlib.time.Month
  • org.jquantlib.time.Weekday
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