This is great. If you can tell me the CVS file I need to update when that is in, that
There are products that need 4 calendars (EUR, Yen, GBP, $ ). More than that, I have
> Luigi, Jack,
>
> I just implemented it in C#, see below. I introduced
>
> a) the concept of a main calendar, which is also used for globalization/i18n
> stuff
> b) a Combine enumeration ("||/&& flag")
>
> Default combination is resulting in combined holidays (that is common
> business days). More than three calendars can be combined using
> CombinedCalendar like standard boolean algebra. Not tested yet...
>
> Jens.
>
> /// <summary>
> /// Calendar combining holidays or business days from two other calendars.
> /// </summary>
> [ RcsId("$Id: $") ]
> [ ComVisible(false) ]
> public sealed class CombinedCalendar : CalendarBase
> {
> /// <summary>
> /// Holidays / business days combination.
> /// </summary>
> /// <remarks>
> /// Use to combine calendars on common business days or holidays:
> /// <list type="table">
> /// <listheader>
> /// <term>Combination mode</term>
> /// <description>Description</description>
> /// </listheader>
> /// <item>
> /// <term><c>Holidays</c></term>
> /// <description>
> /// The resulting calendar has holidays from both calendars.
> /// That is, in other words, only common business days.
> /// </description>
> /// </item>
> /// <item>
> /// <term><c>BusinessDays</c></term>
> /// <description>
> /// The resulting calendar has business days from both calendars.
> /// That is, in other words, only common holidays.
> /// </description>
> /// </item>
> /// </list>
> /// </remarks>
> public enum Combine
> {
> /// <summary>Combine holidays of the other calendar.</summary>
> Holidays,
> /// <summary>Combine business days of the other calendar.</summary>
> BusinessDays
> };
>
> #region Constructors
>
> /// <summary>
> /// Combine a main calendar with holidays from another calendar.
> /// </summary>
> /// <param name="mainCalendar">
> /// The main calendar (also used for globalization settings).</param>
> /// <param name="otherCalendar">
> /// The calendar which adds holidays to the main calendar.
> /// </param>
> /// <remarks>
> /// The combined calendars use the <c>Holidays</c> enumeration from <see
> cref="Combine"/>.
> /// The resulting name can be localized in the resource file.
> /// </remarks>
> public CombinedCalendar(IBusinessCalendar mainCalendar, IBusinessCalendar
> otherCalendar)
> : this(mainCalendar, otherCalendar,
> Strings.Format(null, "CalCombHol", mainCalendar, Combine.Holidays,
> otherCalendar),
> Combine.Holidays)
> {}
>
> /// <summary>
> /// Combine a main calendar with holidays from another calendar.
> /// </summary>
> /// <param name="mainCalendar">
> /// The main calendar (also used for globalization settings).</param>
> /// <param name="otherCalendar">
> /// The calendar which adds holidays to the main calendar.
> /// </param>
> /// <param name="name">
> /// Name of the combined calendar.
> /// </param>
> /// <remarks>
> /// The combined calendars use the <c>Holidays</c> enumeration from <see
> cref="Combine"/>.
> /// </remarks>
> public CombinedCalendar(IBusinessCalendar mainCalendar, IBusinessCalendar
> otherCalendar,
> string name)
> : this(mainCalendar, otherCalendar, name, Combine.Holidays)
> {}
>
> /// <summary>
> /// Combine a main calendar with another calendar.
> /// </summary>
> /// <param name="mainCalendar">
> /// The main calendar (also used for globalization settings).</param>
> /// <param name="otherCalendar">
> /// The calendar which adds holidays to the main calendar.
> /// </param>
> /// <param name="name">
> /// Name of the combined calendar.
> /// </param>
> /// <param name="mode">
> /// The combination mode of the two calendars.
> /// </param>
> /// <remarks>
> /// The <see cref="Combine">combination mode</see> can be used to combine
> /// calendars on common business days or holidays:
> /// <list type="table">
> /// <listheader>
> /// <term><see cref="Combine"/> enumeration</term>
> /// <description>Description</description>
> /// </listheader>
> /// <item>
> /// <term><c>Holidays</c></term>
> /// <description>
> /// The resulting calendar has holidays from both calendars.
> /// That is, in other words, only common business days.
> /// </description>
> /// </item>
> /// <item>
> /// <term><c>BusinessDays</c></term>
> /// <description>
> /// The resulting calendar has business days from both calendars.
> /// That is, in other words, only common holidays.
> /// </description>
> /// </item>
> /// </list>
> /// </remarks>
> public CombinedCalendar(IBusinessCalendar mainCalendar, IBusinessCalendar
> otherCalendar,
> string name, Combine mode)
> : base(name, mainCalendar.Culture, mainCalendar.Calendar)
> {
> if( /* mainCalendar == null || */ otherCalendar == null)
> throw new NullReferenceException(
> Strings.Get(GetType(), "CalNullRef") );
> this.mainCalendar = mainCalendar;
> this.otherCalendar = otherCalendar;
> this.combineBusinessDays = (mode == Combine.BusinessDays);
> }
>
> #endregion
>
> private IBusinessCalendar mainCalendar;
> private IBusinessCalendar otherCalendar;
> private bool combineBusinessDays;
>
> /// <summary>
> /// Returns <c>true</c> iff the date is a business day for the given
> market.
> /// </summary>
> /// <param name="date">The <see cref="DateTime"/> to check.</param>
> /// <returns><c>true</c> iff the date is a business day for the given
> market.</returns>
> override public bool IsBusinessDay(DateTime date)
> {
> bool m = mainCalendar.IsBusinessDay(date);
> bool o = otherCalendar.IsBusinessDay(date);
> // at least two of three conditions must be true
> return (m&&o) || (m&&combineBusinessDays) || (o&&combineBusinessDays);
> }
> }
>
> > -----Ursprungliche Nachricht-----
> > Von:
[hidden email]
> > [mailto:
[hidden email]]Im Auftrag von Luigi
> > Ballabio
> > Gesendet: Montag, 27. Januar 2003 11:39
> > An:
[hidden email]
> > Cc:
[hidden email]
> > Betreff: Re: [Quantlib-users] joint calendar
> >
> >
> > At 08:35 AM 1/27/03 +0000, Chak Jack Wong wrote:
> > >The behavior in Jens' e-mail is exactly what we need. This is
> > mainly used
> > >for cross-ccy swap. for USD and Yen swap on Libor , the holiday
> > is typically
> > >NewYork, London and Tokyo (i.e. union of holiday.), and for
> > quite a lot of
> > >swiss product, we use Zurich/London. This is rather important
> > (yet pretty
> > >simple)
> >
> > Ok, so the relation is:
> >
> > joint.isBusinessDay(d) <= c1.isBusinessDay(d) && c2.isBusinessDay(d)
> >
> > Does anybody think we might need the same thing but with ||
> > instead of && ?
> >
> > Also, I see that one might need more than two calendars. Is three the
> > maximum anybody saw, or did anybody used more complex stuff?
> >
> >
> > >Is it possible to add this simple class to the 0.3.1 release?
> >
> > Not to 0.3.1, sorry---it is already frozen. I can send you the
> > files (once
> > I have them, of course) if you have problems accessing the CVS version.
> >
> > Later,
> > Luigi
> >
> >
> >
> > -------------------------------------------------------
> > This SF.NET email is sponsored by:
> > SourceForge Enterprise Edition + IBM + LinuxWorld = Something 2 See!
> >
http://www.vasoftware.com> > _______________________________________________
> > Quantlib-users mailing list
> >
[hidden email]
> >
https://lists.sourceforge.net/lists/listinfo/quantlib-users> >
> >
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