NYSE Holidays
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Hey Guys,
I noticed that Yahoo's S&P 500 index ('index_gspc') reports prices for dates which QuantLib NYSE calendar reports as holidays. This is ancient history, but thought I'd flag it in any case. (Note I am using my own JavaScript port of the QuantLib code, but no issues apart from the dates below). Any quick thoughts? Perhaps I am missing something obvious... Thanks, John 1950-02-20 1950-05-29 1951-02-19 1951-05-28 1952-02-18 1952-05-26 1953-02-16 1953-05-25 1953-07-03 1954-02-15 1955-02-21 1955-11-01 1956-02-20 1956-05-28 1957-02-18 1957-05-27 1958-02-17 1958-05-26 1959-02-16 1959-05-25 1960-02-15 1960-11-01 1961-02-20 1962-02-19 1962-05-28 1963-02-18 1963-05-27 1964-02-17 1964-05-25 1965-02-15 1966-02-21 1966-11-01 1967-02-20 1967-05-29 1968-02-19 1968-05-27 1968-07-03 1968-09-04 1968-11-06 1968-11-13 1968-11-27 1969-02-17 1969-05-26 1970-02-16 1970-05-25 ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Hi John, the days you report seem to match existing holiday rules; to take the first two, 1950-02-20 is the third Monday in February (Washington's birthday) and 1950-05-29 is the last Monday in May (Memorial Day). Off the top of my head, it's possible that we just don't have the information on when a given holiday was declared, so we're reporting them as holiday even though they were not yet celebrated in those years. I'll have to look for the information. Thanks for the heads-up, Luigi On Tue, Jan 5, 2016 at 11:43 AM John Orford <[hidden email]> wrote:
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I'd be v interested to know what you find - I will check a handful of other old stocks, see whether they too report.
On Tue, 5 Jan 2016 at 17:03 Luigi Ballabio <[hidden email]> wrote:
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John Orford <john.orford <at> gmail.com> writes:
> > I'd be v interested to know what you find - I will check a handful of other old stocks, see whether they too report. > On Tue, 5 Jan 2016 at 17:03 Luigi Ballabio <luigi.ballabio <at> gmail.com> wrote: > I suspect this is what you are looking for: https://en.wikipedia.org/wiki/Uniform_Monday_Holiday_Act Standardised to Monday's from January 1, 1971 Nick ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Yes, that looks like it. Thanks for the find. On Thu, Jan 7, 2016 at 9:55 AM Nick Glass <[hidden email]> wrote: John Orford <john.orford <at> gmail.com> writes: -- <http://leanpub.com/implementingquantlib> ------------------------------------------------------------------------------ Site24x7 APM Insight: Get Deep Visibility into Application Performance APM + Mobile APM + RUM: Monitor 3 App instances at just $35/Month Monitor end-to-end web transactions and take corrective actions now Troubleshoot faster and improve end-user experience. Signup Now! http://pubads.g.doubleclick.net/gampad/clk?id=267308311&iu=/4140 _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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