RE: US Exchange Calendar

Posted by Hasmet Akgun on
URL: http://quantlib.414.s1.nabble.com/US-Exchange-Calendar-tp10684p10687.html

Here's a diff that smooths the irregularities since 1975. More special
closings are available at http://www.nyse.com/about/1022221392381.html but
unfortunately, holiday rule changes have not been incorporated into that
document. Note that the diff corrects an error in my previous post: The
holiday in (1) is MLK's birthday, not Washington's.

Regards,

Hasmet

> -----Original Message-----
> From: Ferdinando Ametrano [mailto:[hidden email]]
> Sent: Friday, January 21, 2005 1:50 PM
> To: Hasmet Akgun; [hidden email]
> Subject: Re: [Quantlib-dev] US Exchange Calendar
>
> Hi Hasmet
>
> >1) Washington's birthday has been an exchange holiday
> >only since 1998.
> >2) Until 1984, US Presidential Election Days were
> >exchange holidays.
>
> thank you for pointing this out. We will fix them
>
> >Also, I am wondering if the intention behind leaving
> >out special closings (mainly due to presidential
> >funerals) is performance reasons: Most users are
> >expected to use the calendar for dates in the future,
> >thus anyone using this class for past dates pays a
> >small price by adding prior closings through
> >Calendar::addHoliday?
> not really. I think the penalty of adding past closing is
> minor and could
> be made almost null if needed. So I would include past closing.
>
> >Anyway, I modified unitedstates.cpp to incorporate
> >what I need and would be happy to help others on this
> >issue.
> I'll fix point 1 and 2 above. Are there more exceptions?
>
> thank you
>
> ciao -- Nando
>