Examples of org.jquantlib.time.calendars.UnitedStates$NercImpl

org.jquantlib.time.calendars.UnitedStates
pm.gov/fedhol/):
- Saturdays
- Sundays
- New Year's Day, JANUARY 1st (possibly moved to Monday if actually on Sunday, or to Friday if on Saturday)
- Martin Luther King's birthday, third Monday in JANUARY
- Presidents' Day (a.k.a. Washington's birthday), third Monday in February
- Memorial Day, last Monday in May
- Independence Day, July 4th (moved to Monday if Sunday or Friday if Saturday)
- Labor Day, first Monday in September
- Columbus Day, second Monday in October
- Veterans' Day, November 11th (moved to Monday if Sunday or Friday if Saturday)
- Thanksgiving Day, fourth Thursday in November
- Christmas, December 25th (moved to Monday if Sunday or Friday if Saturday)
Holidays for the stock exchange (data from http://www.nyse.com):
- Saturdays
- Sundays
- New Year's Day, JANUARY 1st (possibly moved to Monday if actually on Sunday)
- Martin Luther King's birthday, third Monday in JANUARY (since 1998)
- Presidents' Day (a.k.a. Washington's birthday), third Monday in February
- Good Friday
- Memorial Day, last Monday in May
- Independence Day, July 4th (moved to Monday if Sunday or Friday if Saturday)
- Labor Day, first Monday in September
- Thanksgiving Day, fourth Thursday in November
- Presidential election day, first Tuesday in November of election years (until 1980)
- Christmas, December 25th (moved to Monday if Sunday or Friday if Saturday)
- Special historic closings (see http://www.nyse.com/pdfs/closings.pdf)
Holidays for the government bond market (data from http://www.bondmarkets.com):
- Saturdays
- Sundays
- New Year's Day, JANUARY 1st (possibly moved to Monday if actually on Sunday)
- Martin Luther King's birthday, third Monday in JANUARY
- Presidents' Day (a.k.a. Washington's birthday), third Monday in February
- Good Friday
- Memorial Day, last Monday in May
- Independence Day, July 4th (moved to Monday if Sunday or Friday if Saturday)
- Labor Day, first Monday in September
- Columbus Day, second Monday in October
- Veterans' Day, November 11th (moved to Monday if Sunday or Friday if Saturday)
- Thanksgiving Day, fourth Thursday in November
- Christmas, December 25th (moved to Monday if Sunday or Friday if Saturday)
Holidays for the North American Energy Reliability Council (data from http://www.nerc.com/~oc/offpeaks.html):
- Saturdays
- Sundays
- New Year's Day, JANUARY 1st (possibly moved to Monday if actually on Sunday)
- Memorial Day, last Monday in May
- Independence Day, July 4th (moved to Monday if Sunday)
- Labor Day, first Monday in September
- Thanksgiving Day, fourth Thursday in November
- Christmas, December 25th (moved to Monday if Sunday)
@category calendars @author Srinivas Hasti @author Zahid Hussain


      // with explicit settlement date:


      final Schedule sch3 = new Schedule(new Date(30,Month.November,2004),
                    new Date(30,Month.November,2006), new Period(freq),
                    new UnitedStates(UnitedStates.Market.GOVERNMENTBOND),
                    BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, false);


      final FixedRateBond bond3 = new FixedRateBond(settlementDays, faceAmount, sch3,
                          new double[] {0.02875},
                          new ActualActual(ActualActual.Convention.ISMA),

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      final double tolerance = 1.0e-6;


      // plain


      final ZeroCouponBond bond1 = new ZeroCouponBond(settlementDays,
                           new UnitedStates(UnitedStates.Market.GOVERNMENTBOND),
                           faceAmount,
                           new Date(30,Month.November,2008),
                           BusinessDayConvention.ModifiedFollowing,
                           100.0, new Date(30,Month.November,2004));


    final PricingEngine bondEngine = new DiscountingBondEngine(discountCurve);
      bond1.setPricingEngine(bondEngine);


      final double cachedPrice1 = 88.551726;


      double price = bond1.getCleanPrice();
      if (Math.abs(price-cachedPrice1) > tolerance) {
          fail("failed to reproduce cached price:\n"
                     + "    calculated: " + price + "\n"
                     + "    expected:   " + cachedPrice1 + "\n"
                     + "    error:      " + (price-cachedPrice1));
      }


      final ZeroCouponBond bond2 = new ZeroCouponBond(settlementDays,
                           new UnitedStates(UnitedStates.Market.GOVERNMENTBOND),
                           faceAmount,
                           new Date(30,Month.November,2007),
                           BusinessDayConvention.ModifiedFollowing,
                           100.0, new Date(30,Month.November,2004));


      bond2.setPricingEngine(bondEngine);


      final double cachedPrice2 = 91.278949;


      price = bond2.getCleanPrice();
      if (Math.abs(price-cachedPrice2) > tolerance) {
          fail("failed to reproduce cached price:\n"
                     + "    calculated: " + price + "\n"
                     + "    expected:   " + cachedPrice2 + "\n"
                     + "    error:      " + (price-cachedPrice2));
      }


      final ZeroCouponBond bond3 = new ZeroCouponBond(settlementDays,
                           new UnitedStates(UnitedStates.Market.GOVERNMENTBOND),
                           faceAmount,
                           new Date(30,Month.November,2006),
                           BusinessDayConvention.ModifiedFollowing,
                           100.0, new Date(30,Month.November,2004));

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      // plain


      final Schedule sch = new Schedule(new Date(30,Month.November,2004),
                   new Date(30,Month.November,2008), new Period(Frequency.Semiannual),
                   new UnitedStates(UnitedStates.Market.GOVERNMENTBOND),
                   BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted, DateGeneration.Rule.Backward, false);


      final FixedRateBond bond1 = new FixedRateBond(settlementDays, faceAmount, sch,
                          new double [] { 0.02875 },
                          new ActualActual(ActualActual.Convention.ISMA),
                          BusinessDayConvention.ModifiedFollowing,
                          100.0, new Date(30,Month.November,2004));


      final PricingEngine bondEngine = new DiscountingBondEngine(discountCurve);
      bond1.setPricingEngine(bondEngine);


      final double cachedPrice1 = 99.298100;


      double price = bond1.getCleanPrice();
      if (Math.abs(price-cachedPrice1) > tolerance) {
          fail("failed to reproduce cached price:\n"
                     + "    calculated: " + price + "\n"
                     + "    expected:   " + cachedPrice1 + "\n"
                     + "    error:      " + (price-cachedPrice1));
      }


      // varying coupons


      final double [] couponRates = new double[] { 0.02875, 0.03, 0.03125, 0.0325 };


      final FixedRateBond bond2 = new FixedRateBond(settlementDays, faceAmount, sch,
                            couponRates,
                            new ActualActual(ActualActual.Convention.ISMA),
                            BusinessDayConvention.ModifiedFollowing,
                            100.0, new Date(30,Month.November,2004));


      bond2.setPricingEngine(bondEngine);


      final double cachedPrice2 = 100.334149;


      price = bond2.getCleanPrice();
      if (Math.abs(price-cachedPrice2) > tolerance) {
          fail("failed to reproduce cached price:\n"
                     + "    calculated: " + price + "\n"
                     + "    expected:   " + cachedPrice2 + "\n"
                     + "    error:      " + (price-cachedPrice2));
      }


      // stub date


      final Schedule sch3 = new Schedule(new Date(30,Month.November,2004),
                    new Date(30,Month.March,2009), new Period(Frequency.Semiannual),
                    new UnitedStates(UnitedStates.Market.GOVERNMENTBOND),
                    BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
                    DateGeneration.Rule.Backward, false,
                    new Date(), new Date(30,Month.November,2008));


      final FixedRateBond bond3 = new FixedRateBond(settlementDays, faceAmount, sch3,

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                new Entry( new Date(24, 1, 1973), new Date(24, 1, 1973) ),
                new Entry( new Date(25, 1, 1973), new Date(26, 1, 1973) ),
                new Entry( new Date(26, 1, 1973), new Date(26, 1, 1973) ),
            };


        final Calendar unitedStatesCalendar = new UnitedStates(UnitedStates.Market.NYSE);
        for (final Entry entry : entries) {
            final Date result = unitedStatesCalendar.adjust(entry.date, BusinessDayConvention.ModifiedFollowing);
            System.out.println("adjusted is " + result.isoDate() + "  ::  expected is " + entry.expected.isoDate());
            assertEquals(result, entry.expected);
        }
    }

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                new Entry( new Date(24, 1, 1973), new Date(24, 1, 1973) ),
                new Entry( new Date(25, 1, 1973), new Date(24, 1, 1973) ),
                new Entry( new Date(26, 1, 1973), new Date(26, 1, 1973) ),
            };


        final Calendar unitedStatesCalendar = new UnitedStates(UnitedStates.Market.NYSE);
        for (final Entry entry : entries) {
            final Date result = unitedStatesCalendar.adjust(entry.date, BusinessDayConvention.ModifiedPreceding);
            System.out.println("adjusted is " + result.isoDate() + "  ::  expected is " + entry.expected.isoDate());
            assertEquals(result, entry.expected);
        }
    }

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        expectedHol.add(new Date(24, December, year));
         // Special closings for 2004 - Reagan's death and day after thanksgiving
        expectedHol.add(new Date(11, June, year));


        // Call the Holiday Check
        final Calendar nyse = new UnitedStates(UnitedStates.Market.NYSE);
        final CalendarUtil cbt = new CalendarUtil();
        cbt.checkHolidayList(expectedHol, nyse, year);
    }

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        // Christmas, December 25th (moved to Monday if Sunday or Friday if Saturday)
        //expectedHol.add(new Date(25,DECEMBER,year));
        expectedHol.add(new Date(26, December, year));


        // Call the Holiday Check
        final Calendar nyse = new UnitedStates(UnitedStates.Market.NYSE);
        final CalendarUtil cbt = new CalendarUtil();
        cbt.checkHolidayList(expectedHol, nyse, year);
    }

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        // Nov. 7 was an election day, but was not a holiday
        // Christmas, December 25th (moved to Monday if Sunday or Friday if Saturday)
        expectedHol.add(new Date(25, December, year));


        // Call the Holiday Check
        final Calendar nyse = new UnitedStates(UnitedStates.Market.NYSE);
        final CalendarUtil cbt = new CalendarUtil();
        cbt.checkHolidayList(expectedHol, nyse, year);
    }

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        expectedHol.add(new Date(22, November, year));
        // Christmas, December 25th (moved to Monday if Sunday or Friday if Saturday)
        expectedHol.add(new Date(25, December, year));


        // Call the Holiday Check
        final Calendar nyse = new UnitedStates(UnitedStates.Market.NYSE);
        final CalendarUtil cbt = new CalendarUtil();
        cbt.checkHolidayList(expectedHol, nyse, year);
    }

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        expectedHol.add(new Date(27, November, year));
        // Christmas, December 25th (moved to Monday if Sunday or Friday if Saturday)
        expectedHol.add(new Date(25, December, year));


        // Call the Holiday Check
        final Calendar nyse = new UnitedStates(UnitedStates.Market.NYSE);
        final CalendarUtil cbt = new CalendarUtil();
        cbt.checkHolidayList(expectedHol, nyse, year);
    }

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