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calendars.cpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2005 Ferdinando Ametrano
Copyright (C) 2003, 2004 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<[email protected]>. The license is also available online at
<http://quantlib.org/reference/license.html>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#include "calendars.hpp"
#include <ql/calendar.hpp>
#include <ql/Calendars/brazil.hpp>
#include <ql/Calendars/germany.hpp>
#include <ql/Calendars/italy.hpp>
#include <ql/Calendars/target.hpp>
#include <ql/Calendars/unitedkingdom.hpp>
#include <ql/Calendars/unitedstates.hpp>
#include <ql/Calendars/tokyo.hpp>
#include <ql/Calendars/jointcalendar.hpp>
#include <ql/Functions/calendars.hpp>
#include <fstream>
using namespace QuantLib;
using namespace boost::unit_test_framework;
void CalendarTest::testModifiedCalendars() {
BOOST_MESSAGE("Testing calendar modification...");
Calendar c1 = TARGET();
Calendar c2 = UnitedStates(UnitedStates::Exchange);
Date d1(1,May,2004); // holiday for both calendars
Date d2(26,April,2004); // business day
QL_REQUIRE(c1.isHoliday(d1), "wrong assumption---correct the test");
QL_REQUIRE(c1.isBusinessDay(d2), "wrong assumption---correct the test");
QL_REQUIRE(c2.isHoliday(d1), "wrong assumption---correct the test");
QL_REQUIRE(c2.isBusinessDay(d2), "wrong assumption---correct the test");
// modify the TARGET calendar
c1.removeHoliday(d1);
c1.addHoliday(d2);
// test
if (c1.isHoliday(d1))
BOOST_FAIL(d1 << " still a holiday for original TARGET instance");
if (c1.isBusinessDay(d2))
BOOST_FAIL(d2 << " still a business day for original TARGET instance");
// any instance of TARGET should be modified...
Calendar c3 = TARGET();
if (c3.isHoliday(d1))
BOOST_FAIL(d1 << " still a holiday for generic TARGET instance");
if (c3.isBusinessDay(d2))
BOOST_FAIL(d2 << " still a business day for generic TARGET instance");
// ...but not other calendars
if (c2.isBusinessDay(d1))
BOOST_FAIL(d1 << " business day for New York");
if (c2.isHoliday(d2))
BOOST_FAIL(d2 << " holiday for New York");
// restore original holiday set---test the other way around
c3.addHoliday(d1);
c3.removeHoliday(d2);
if (c1.isBusinessDay(d1))
BOOST_FAIL(d1 << " still a business day");
if (c1.isHoliday(d2))
BOOST_FAIL(d2 << " still a holiday");
}
void CalendarTest::testJointCalendars() {
BOOST_MESSAGE("Testing joint calendars...");
Calendar c1 = TARGET(),
c2 = UnitedKingdom(),
c3 = UnitedStates(UnitedStates::Exchange),
c4 = Tokyo();
Calendar c12h = JointCalendar(c1,c2,JoinHolidays),
c12b = JointCalendar(c1,c2,JoinBusinessDays),
c123h = JointCalendar(c1,c2,c3,JoinHolidays),
c123b = JointCalendar(c1,c2,c3,JoinBusinessDays),
c1234h = JointCalendar(c1,c2,c3,c4,JoinHolidays),
c1234b = JointCalendar(c1,c2,c3,c4,JoinBusinessDays);
// test one year, starting today
Date firstDate = Date::todaysDate(),
endDate = firstDate + 1*Years;
for (Date d = firstDate; d < endDate; d++) {
bool b1 = c1.isBusinessDay(d),
b2 = c2.isBusinessDay(d),
b3 = c3.isBusinessDay(d),
b4 = c4.isBusinessDay(d);
if ((b1 && b2) != c12h.isBusinessDay(d))
BOOST_FAIL("At date " << d << ":\n"
<< " inconsistency between joint calendar "
<< c12h.name() << " (joining holidays)\n"
<< " and its components");
if ((b1 || b2) != c12b.isBusinessDay(d))
BOOST_FAIL("At date " << d << ":\n"
<< " inconsistency between joint calendar "
<< c12b.name() << " (joining business days)\n"
<< " and its components");
if ((b1 && b2 && b3) != c123h.isBusinessDay(d))
BOOST_FAIL("At date " << d << ":\n"
<< " inconsistency between joint calendar "
<< c123h.name() << " (joining holidays)\n"
<< " and its components");
if ((b1 || b2 || b3) != c123b.isBusinessDay(d))
BOOST_FAIL("At date " << d << ":\n"
<< " inconsistency between joint calendar "
<< c123b.name() << " (joining business days)\n"
<< " and its components");
if ((b1 && b2 && b3 && b4) != c1234h.isBusinessDay(d))
BOOST_FAIL("At date " << d << ":\n"
<< " inconsistency between joint calendar "
<< c1234h.name() << " (joining holidays)\n"
<< " and its components");
if ((b1 || b2 || b3 || b4) != c1234b.isBusinessDay(d))
BOOST_FAIL("At date " << d << ":\n"
<< " inconsistency between joint calendar "
<< c1234b.name() << " (joining business days)\n"
<< " and its components");
}
}
void CalendarTest::testUSSettlement() {
BOOST_MESSAGE("Testing US settlement holiday list...");
std::vector<Date> expectedHol;
expectedHol.push_back(Date(1,January,2004));
expectedHol.push_back(Date(19,January,2004));
expectedHol.push_back(Date(16,February,2004));
expectedHol.push_back(Date(31,May,2004));
expectedHol.push_back(Date(5,July,2004));
expectedHol.push_back(Date(6,September,2004));
expectedHol.push_back(Date(11,October,2004));
expectedHol.push_back(Date(11,November,2004));
expectedHol.push_back(Date(25,November,2004));
expectedHol.push_back(Date(24,December,2004));
expectedHol.push_back(Date(31,December,2004));
expectedHol.push_back(Date(17,January,2005));
expectedHol.push_back(Date(21,February,2005));
expectedHol.push_back(Date(30,May,2005));
expectedHol.push_back(Date(4,July,2005));
expectedHol.push_back(Date(5,September,2005));
expectedHol.push_back(Date(10,October,2005));
expectedHol.push_back(Date(11,November,2005));
expectedHol.push_back(Date(24,November,2005));
expectedHol.push_back(Date(26,December,2005));
Calendar c = UnitedStates(UnitedStates::Settlement);
std::vector<Date> hol = holidayList(c, Date(1,January,2004),
Date(31,December,2005));
for (Size i=0; i<std::min<Size>(hol.size(), expectedHol.size()); i++) {
if (hol[i]!=expectedHol[i])
BOOST_FAIL("expected holiday was " << expectedHol[i]
<< " while calculated holiday is " << hol[i]);
}
if (hol.size()!=expectedHol.size())
BOOST_FAIL("there were " << expectedHol.size()
<< " expected holidays, while there are " << hol.size()
<< " calculated holidays");
}
void CalendarTest::testUSGovernmentBondMarket() {
BOOST_MESSAGE("Testing US Government Bond Market holiday list...");
std::vector<Date> expectedHol;
expectedHol.push_back(Date(1,January,2004));
expectedHol.push_back(Date(19,January,2004));
expectedHol.push_back(Date(16,February,2004));
expectedHol.push_back(Date(9,April,2004));
expectedHol.push_back(Date(31,May,2004));
expectedHol.push_back(Date(5,July,2004));
expectedHol.push_back(Date(6,September,2004));
expectedHol.push_back(Date(11,October,2004));
expectedHol.push_back(Date(11,November,2004));
expectedHol.push_back(Date(25,November,2004));
expectedHol.push_back(Date(24,December,2004));
Calendar c = UnitedStates(UnitedStates::GovernmentBond);
std::vector<Date> hol = holidayList(c, Date(1,January,2004),
Date(31,December,2004));
for (Size i=0; i<std::min<Size>(hol.size(), expectedHol.size()); i++) {
if (hol[i]!=expectedHol[i])
BOOST_FAIL("expected holiday was " << expectedHol[i]
<< " while calculated holiday is " << hol[i]);
}
if (hol.size()!=expectedHol.size())
BOOST_FAIL("there were " << expectedHol.size()
<< " expected holidays, while there are " << hol.size()
<< " calculated holidays");
}
void CalendarTest::testUSNewYorkStockExchange() {
BOOST_MESSAGE("Testing US New York Stock Exchange holiday list...");
std::vector<Date> expectedHol;
expectedHol.push_back(Date(1,January,2004));
expectedHol.push_back(Date(19,January,2004));
expectedHol.push_back(Date(16,February,2004));
expectedHol.push_back(Date(9,April,2004));
expectedHol.push_back(Date(31,May,2004));
expectedHol.push_back(Date(11,June,2004));
expectedHol.push_back(Date(5,July,2004));
expectedHol.push_back(Date(6,September,2004));
expectedHol.push_back(Date(25,November,2004));
expectedHol.push_back(Date(24,December,2004));
expectedHol.push_back(Date(17,January,2005));
expectedHol.push_back(Date(21,February,2005));
expectedHol.push_back(Date(25,March,2005));
expectedHol.push_back(Date(30,May,2005));
expectedHol.push_back(Date(4,July,2005));
expectedHol.push_back(Date(5,September,2005));
expectedHol.push_back(Date(24,November,2005));
expectedHol.push_back(Date(26,December,2005));
expectedHol.push_back(Date(2,January,2006));
expectedHol.push_back(Date(16,January,2006));
expectedHol.push_back(Date(20,February,2006));
expectedHol.push_back(Date(14,April,2006));
expectedHol.push_back(Date(29,May,2006));
expectedHol.push_back(Date(4,July,2006));
expectedHol.push_back(Date(4,September,2006));
expectedHol.push_back(Date(23,November,2006));
expectedHol.push_back(Date(25,December,2006));
Calendar c = UnitedStates(UnitedStates::Exchange);
std::vector<Date> hol = holidayList(c, Date(1,January,2004),
Date(31,December,2006));
Size i;
for (i=0; i<std::min<Size>(hol.size(), expectedHol.size()); i++) {
if (hol[i]!=expectedHol[i])
BOOST_FAIL("expected holiday was " << expectedHol[i]
<< " while calculated holiday is " << hol[i]);
}
if (hol.size()!=expectedHol.size())
BOOST_FAIL("there were " << expectedHol.size()
<< " expected holidays, while there are " << hol.size()
<< " calculated holidays");
std::vector<Date> histClose;
histClose.push_back(Date(11,June,2004)); // Reagan's funeral
histClose.push_back(Date(14,September,2001));// September 11, 2001
histClose.push_back(Date(13,September,2001));// September 11, 2001
histClose.push_back(Date(12,September,2001));// September 11, 2001
histClose.push_back(Date(11,September,2001));// September 11, 2001
histClose.push_back(Date(14,July,1977)); // 1977 Blackout
histClose.push_back(Date(25,January,1973)); // Johnson's funeral.
histClose.push_back(Date(28,December,1972)); // Truman's funeral
histClose.push_back(Date(21,July,1969)); // Lunar exploration nat. day
histClose.push_back(Date(31,March,1969)); // Eisenhower's funeral
histClose.push_back(Date(10,February,1969)); // heavy snow
histClose.push_back(Date(5,July,1968)); // Day after Independence Day
// June 12-Dec. 31, 1968
// Four day week (closed on Wednesdays) - Paperwork Crisis
histClose.push_back(Date(12,Jun,1968));
histClose.push_back(Date(19,Jun,1968));
histClose.push_back(Date(26,Jun,1968));
histClose.push_back(Date(3,Jul,1968 ));
histClose.push_back(Date(10,Jul,1968));
histClose.push_back(Date(17,Jul,1968));
histClose.push_back(Date(20,Nov,1968));
histClose.push_back(Date(27,Nov,1968));
histClose.push_back(Date(4,Dec,1968 ));
histClose.push_back(Date(11,Dec,1968));
histClose.push_back(Date(18,Dec,1968));
// Presidential election days
histClose.push_back(Date(4,Nov,1980));
histClose.push_back(Date(2,Nov,1976));
histClose.push_back(Date(7,Nov,1972));
histClose.push_back(Date(5,Nov,1968));
histClose.push_back(Date(3,Nov,1964));
for (i=0; i<histClose.size(); i++) {
if (!c.isHoliday(histClose[i]))
BOOST_FAIL(histClose[i]
<< " should be holiday (historical close)");
}
}
void CalendarTest::testTARGET() {
BOOST_MESSAGE("Testing TARGET holiday list...");
std::vector<Date> expectedHol;
expectedHol.push_back(Date(1,January,1999));
expectedHol.push_back(Date(31,December,1999));
expectedHol.push_back(Date(21,April,2000));
expectedHol.push_back(Date(24,April,2000));
expectedHol.push_back(Date(1,May,2000));
expectedHol.push_back(Date(25,December,2000));
expectedHol.push_back(Date(26,December,2000));
expectedHol.push_back(Date(1,January,2001));
expectedHol.push_back(Date(13,April,2001));
expectedHol.push_back(Date(16,April,2001));
expectedHol.push_back(Date(1,May,2001));
expectedHol.push_back(Date(25,December,2001));
expectedHol.push_back(Date(26,December,2001));
expectedHol.push_back(Date(31,December,2001));
expectedHol.push_back(Date(1,January,2002));
expectedHol.push_back(Date(29,March,2002));
expectedHol.push_back(Date(1,April,2002));
expectedHol.push_back(Date(1,May,2002));
expectedHol.push_back(Date(25,December,2002));
expectedHol.push_back(Date(26,December,2002));
expectedHol.push_back(Date(1,January,2003));
expectedHol.push_back(Date(18,April,2003));
expectedHol.push_back(Date(21,April,2003));
expectedHol.push_back(Date(1,May,2003));
expectedHol.push_back(Date(25,December,2003));
expectedHol.push_back(Date(26,December,2003));
expectedHol.push_back(Date(1,January,2004));
expectedHol.push_back(Date(9,April,2004));
expectedHol.push_back(Date(12,April,2004));
expectedHol.push_back(Date(25,March,2005));
expectedHol.push_back(Date(28,March,2005));
expectedHol.push_back(Date(26,December,2005));
expectedHol.push_back(Date(14,April,2006));
expectedHol.push_back(Date(17,April,2006));
expectedHol.push_back(Date(1,May,2006));
expectedHol.push_back(Date(25,December,2006));
expectedHol.push_back(Date(26,December,2006));
Calendar c = TARGET();
std::vector<Date> hol = holidayList(c, Date(1,January,1999),
Date(31,December,2006));
for (Size i=0; i<std::min<Size>(hol.size(), expectedHol.size()); i++) {
if (hol[i]!=expectedHol[i])
BOOST_FAIL("expected holiday was " << expectedHol[i]
<< " while calculated holiday is " << hol[i]);
}
if (hol.size()!=expectedHol.size())
BOOST_FAIL("there were " << expectedHol.size()
<< " expected holidays, while there are " << hol.size()
<< " calculated holidays");
}
void CalendarTest::testGermanyFrankfurt() {
BOOST_MESSAGE("Testing Germany Frankfurt Stock Exchange holiday list...");
std::vector<Date> expectedHol;
expectedHol.push_back(Date(1,January,2003));
expectedHol.push_back(Date(18,April,2003));
expectedHol.push_back(Date(21,April,2003));
expectedHol.push_back(Date(1,May,2003));
expectedHol.push_back(Date(24,December,2003));
expectedHol.push_back(Date(25,December,2003));
expectedHol.push_back(Date(26,December,2003));
expectedHol.push_back(Date(31,December,2003));
expectedHol.push_back(Date(1,January,2004));
expectedHol.push_back(Date(9,April,2004));
expectedHol.push_back(Date(12,April,2004));
expectedHol.push_back(Date(24,December,2004));
expectedHol.push_back(Date(31,December,2004));
Calendar c = Germany(Germany::FrankfurtStockExchange);
std::vector<Date> hol = holidayList(c, Date(1,January,2003),
Date(31,December,2004));
for (Size i=0; i<std::min<Size>(hol.size(), expectedHol.size()); i++) {
if (hol[i]!=expectedHol[i])
BOOST_FAIL("expected holiday was " << expectedHol[i]
<< " while calculated holiday is " << hol[i]);
}
if (hol.size()!=expectedHol.size())
BOOST_FAIL("there were " << expectedHol.size()
<< " expected holidays, while there are " << hol.size()
<< " calculated holidays");
}
void CalendarTest::testGermanyEurex() {
BOOST_MESSAGE("Testing Germany Eurex holiday list...");
std::vector<Date> expectedHol;
expectedHol.push_back(Date(1,January,2003));
expectedHol.push_back(Date(18,April,2003));
expectedHol.push_back(Date(21,April,2003));
expectedHol.push_back(Date(1,May,2003));
expectedHol.push_back(Date(24,December,2003));
expectedHol.push_back(Date(25,December,2003));
expectedHol.push_back(Date(26,December,2003));
expectedHol.push_back(Date(31,December,2003));
expectedHol.push_back(Date(1,January,2004));
expectedHol.push_back(Date(9,April,2004));
expectedHol.push_back(Date(12,April,2004));
expectedHol.push_back(Date(24,December,2004));
expectedHol.push_back(Date(31,December,2004));
Calendar c = Germany(Germany::Eurex);
std::vector<Date> hol = holidayList(c, Date(1,January,2003),
Date(31,December,2004));
for (Size i=0; i<std::min<Size>(hol.size(), expectedHol.size()); i++) {
if (hol[i]!=expectedHol[i])
BOOST_FAIL("expected holiday was " << expectedHol[i]
<< " while calculated holiday is " << hol[i]);
}
if (hol.size()!=expectedHol.size())
BOOST_FAIL("there were " << expectedHol.size()
<< " expected holidays, while there are " << hol.size()
<< " calculated holidays");
}
void CalendarTest::testGermanyXetra() {
BOOST_MESSAGE("Testing Germany Xetra holiday list...");
std::vector<Date> expectedHol;
expectedHol.push_back(Date(1,January,2003));
expectedHol.push_back(Date(18,April,2003));
expectedHol.push_back(Date(21,April,2003));
expectedHol.push_back(Date(1,May,2003));
expectedHol.push_back(Date(24,December,2003));
expectedHol.push_back(Date(25,December,2003));
expectedHol.push_back(Date(26,December,2003));
expectedHol.push_back(Date(31,December,2003));
expectedHol.push_back(Date(1,January,2004));
expectedHol.push_back(Date(9,April,2004));
expectedHol.push_back(Date(12,April,2004));
expectedHol.push_back(Date(24,December,2004));
expectedHol.push_back(Date(31,December,2004));
Calendar c = Germany(Germany::Xetra);
std::vector<Date> hol = holidayList(c, Date(1,January,2003),
Date(31,December,2004));
for (Size i=0; i<std::min<Size>(hol.size(), expectedHol.size()); i++) {
if (hol[i]!=expectedHol[i])
BOOST_FAIL("expected holiday was " << expectedHol[i]
<< " while calculated holiday is " << hol[i]);
}
if (hol.size()!=expectedHol.size())
BOOST_FAIL("there were " << expectedHol.size()
<< " expected holidays, while there are " << hol.size()
<< " calculated holidays");
}
void CalendarTest::testUKSettlement() {
BOOST_MESSAGE("Testing UK Settlement holiday list...");
std::vector<Date> expectedHol;
expectedHol.push_back(Date(1,January,2004));
expectedHol.push_back(Date(9,April,2004));
expectedHol.push_back(Date(12,April,2004));
expectedHol.push_back(Date(3,May,2004));
expectedHol.push_back(Date(31,May,2004));
expectedHol.push_back(Date(30,August,2004));
expectedHol.push_back(Date(27,December,2004));
expectedHol.push_back(Date(28,December,2004));
expectedHol.push_back(Date(3,January,2005));
expectedHol.push_back(Date(25,March,2005));
expectedHol.push_back(Date(28,March,2005));
expectedHol.push_back(Date(2,May,2005));
expectedHol.push_back(Date(30,May,2005));
expectedHol.push_back(Date(29,August,2005));
expectedHol.push_back(Date(26,December,2005));
expectedHol.push_back(Date(27,December,2005));
expectedHol.push_back(Date(2,January,2006));
expectedHol.push_back(Date(14,April,2006));
expectedHol.push_back(Date(17,April,2006));
expectedHol.push_back(Date(1,May,2006));
expectedHol.push_back(Date(29,May,2006));
expectedHol.push_back(Date(28,August,2006));
expectedHol.push_back(Date(25,December,2006));
expectedHol.push_back(Date(26,December,2006));
expectedHol.push_back(Date(1,January,2007));
expectedHol.push_back(Date(6,April,2007));
expectedHol.push_back(Date(9,April,2007));
expectedHol.push_back(Date(7,May,2007));
expectedHol.push_back(Date(28,May,2007));
expectedHol.push_back(Date(27,August,2007));
expectedHol.push_back(Date(25,December,2007));
expectedHol.push_back(Date(26,December,2007));
Calendar c = UnitedKingdom(UnitedKingdom::Settlement);
std::vector<Date> hol = holidayList(c, Date(1,January,2004),
Date(31,December,2007));
for (Size i=0; i<std::min<Size>(hol.size(), expectedHol.size()); i++) {
if (hol[i]!=expectedHol[i])
BOOST_FAIL("expected holiday was " << expectedHol[i]
<< " while calculated holiday is " << hol[i]);
}
if (hol.size()!=expectedHol.size())
BOOST_FAIL("there were " << expectedHol.size()
<< " expected holidays, while there are " << hol.size()
<< " calculated holidays");
}
void CalendarTest::testUKExchange() {
BOOST_MESSAGE("Testing UK London Stock Exchange holiday list...");
std::vector<Date> expectedHol;
expectedHol.push_back(Date(1,January,2004));
expectedHol.push_back(Date(9,April,2004));
expectedHol.push_back(Date(12,April,2004));
expectedHol.push_back(Date(3,May,2004));
expectedHol.push_back(Date(31,May,2004));
expectedHol.push_back(Date(30,August,2004));
expectedHol.push_back(Date(27,December,2004));
expectedHol.push_back(Date(28,December,2004));
expectedHol.push_back(Date(3,January,2005));
expectedHol.push_back(Date(25,March,2005));
expectedHol.push_back(Date(28,March,2005));
expectedHol.push_back(Date(2,May,2005));
expectedHol.push_back(Date(30,May,2005));
expectedHol.push_back(Date(29,August,2005));
expectedHol.push_back(Date(26,December,2005));
expectedHol.push_back(Date(27,December,2005));
expectedHol.push_back(Date(2,January,2006));
expectedHol.push_back(Date(14,April,2006));
expectedHol.push_back(Date(17,April,2006));
expectedHol.push_back(Date(1,May,2006));
expectedHol.push_back(Date(29,May,2006));
expectedHol.push_back(Date(28,August,2006));
expectedHol.push_back(Date(25,December,2006));
expectedHol.push_back(Date(26,December,2006));
expectedHol.push_back(Date(1,January,2007));
expectedHol.push_back(Date(6,April,2007));
expectedHol.push_back(Date(9,April,2007));
expectedHol.push_back(Date(7,May,2007));
expectedHol.push_back(Date(28,May,2007));
expectedHol.push_back(Date(27,August,2007));
expectedHol.push_back(Date(25,December,2007));
expectedHol.push_back(Date(26,December,2007));
Calendar c = UnitedKingdom(UnitedKingdom::Exchange);
std::vector<Date> hol = holidayList(c, Date(1,January,2004),
Date(31,December,2007));
for (Size i=0; i<std::min<Size>(hol.size(), expectedHol.size()); i++) {
if (hol[i]!=expectedHol[i])
BOOST_FAIL("expected holiday was " << expectedHol[i]
<< " while calculated holiday is " << hol[i]);
}
if (hol.size()!=expectedHol.size())
BOOST_FAIL("there were " << expectedHol.size()
<< " expected holidays, while there are " << hol.size()
<< " calculated holidays");
}
void CalendarTest::testUKMetals() {
BOOST_MESSAGE("Testing UK London Metals Exchange holiday list...");
std::vector<Date> expectedHol;
expectedHol.push_back(Date(1,January,2004));
expectedHol.push_back(Date(9,April,2004));
expectedHol.push_back(Date(12,April,2004));
expectedHol.push_back(Date(3,May,2004));
expectedHol.push_back(Date(31,May,2004));
expectedHol.push_back(Date(30,August,2004));
expectedHol.push_back(Date(27,December,2004));
expectedHol.push_back(Date(28,December,2004));
expectedHol.push_back(Date(3,January,2005));
expectedHol.push_back(Date(25,March,2005));
expectedHol.push_back(Date(28,March,2005));
expectedHol.push_back(Date(2,May,2005));
expectedHol.push_back(Date(30,May,2005));
expectedHol.push_back(Date(29,August,2005));
expectedHol.push_back(Date(26,December,2005));
expectedHol.push_back(Date(27,December,2005));
expectedHol.push_back(Date(2,January,2006));
expectedHol.push_back(Date(14,April,2006));
expectedHol.push_back(Date(17,April,2006));
expectedHol.push_back(Date(1,May,2006));
expectedHol.push_back(Date(29,May,2006));
expectedHol.push_back(Date(28,August,2006));
expectedHol.push_back(Date(25,December,2006));
expectedHol.push_back(Date(26,December,2006));
expectedHol.push_back(Date(1,January,2007));
expectedHol.push_back(Date(6,April,2007));
expectedHol.push_back(Date(9,April,2007));
expectedHol.push_back(Date(7,May,2007));
expectedHol.push_back(Date(28,May,2007));
expectedHol.push_back(Date(27,August,2007));
expectedHol.push_back(Date(25,December,2007));
expectedHol.push_back(Date(26,December,2007));
Calendar c = UnitedKingdom(UnitedKingdom::Metals);
std::vector<Date> hol = holidayList(c, Date(1,January,2004),
Date(31,December,2007));
for (Size i=0; i<std::min<Size>(hol.size(), expectedHol.size()); i++) {
if (hol[i]!=expectedHol[i])
BOOST_FAIL("expected holiday was " << expectedHol[i]
<< " while calculated holiday is " << hol[i]);
}
if (hol.size()!=expectedHol.size())
BOOST_FAIL("there were " << expectedHol.size()
<< " expected holidays, while there are " << hol.size()
<< " calculated holidays");
}
void CalendarTest::testItalyExchange() {
BOOST_MESSAGE("Testing Italy Milan Stock Exchange holiday list...");
std::vector<Date> expectedHol;
expectedHol.push_back(Date(1,January,2002));
expectedHol.push_back(Date(29,March,2002));
expectedHol.push_back(Date(1,April,2002));
expectedHol.push_back(Date(1,May,2002));
expectedHol.push_back(Date(15,August,2002));
expectedHol.push_back(Date(24,December,2002));
expectedHol.push_back(Date(25,December,2002));
expectedHol.push_back(Date(26,December,2002));
expectedHol.push_back(Date(31,December,2002));
expectedHol.push_back(Date(1,January,2003));
expectedHol.push_back(Date(18,April,2003));
expectedHol.push_back(Date(21,April,2003));
expectedHol.push_back(Date(1,May,2003));
expectedHol.push_back(Date(15,August,2003));
expectedHol.push_back(Date(24,December,2003));
expectedHol.push_back(Date(25,December,2003));
expectedHol.push_back(Date(26,December,2003));
expectedHol.push_back(Date(31,December,2003));
expectedHol.push_back(Date(1,January,2004));
expectedHol.push_back(Date(9,April,2004));
expectedHol.push_back(Date(12,April,2004));
expectedHol.push_back(Date(24,December,2004));
expectedHol.push_back(Date(31,December,2004));
Calendar c = Italy(Italy::Exchange);
std::vector<Date> hol = holidayList(c, Date(1,January,2002),
Date(31,December,2004));
for (Size i=0; i<std::min<Size>(hol.size(), expectedHol.size()); i++) {
if (hol[i]!=expectedHol[i])
BOOST_FAIL("expected holiday was " << expectedHol[i]
<< " while calculated holiday is " << hol[i]);
}
if (hol.size()!=expectedHol.size())
BOOST_FAIL("there were " << expectedHol.size()
<< " expected holidays, while there are " << hol.size()
<< " calculated holidays");
}
void CalendarTest::testBrazil() {
BOOST_MESSAGE("Testing Brazil holiday list...");
std::vector<Date> expectedHol;
//expectedHol.push_back(Date(1,January,2005)); // Saturday
expectedHol.push_back(Date(7,February,2005));
expectedHol.push_back(Date(8,February,2005));
expectedHol.push_back(Date(25,March,2005));
expectedHol.push_back(Date(21,April,2005));
//expectedHol.push_back(Date(1,May,2005)); // Sunday
expectedHol.push_back(Date(26,May,2005));
expectedHol.push_back(Date(7,September,2005));
expectedHol.push_back(Date(12,October,2005));
expectedHol.push_back(Date(2,November,2005));
expectedHol.push_back(Date(15,November,2005));
//expectedHol.push_back(Date(25,December,2005)); // Sunday
//expectedHol.push_back(Date(1,January,2006)); // Sunday
expectedHol.push_back(Date(27,February,2006));
expectedHol.push_back(Date(28,February,2006));
expectedHol.push_back(Date(14,April,2006));
expectedHol.push_back(Date(21,April,2006));
expectedHol.push_back(Date(1,May,2006));
expectedHol.push_back(Date(15,June,2006));
expectedHol.push_back(Date(7,September,2006));
expectedHol.push_back(Date(12,October,2006));
expectedHol.push_back(Date(2,November,2006));
expectedHol.push_back(Date(15,November,2006));
expectedHol.push_back(Date(25,December,2006));
Calendar c = Brazil();
std::vector<Date> hol = holidayList(c, Date(1,January,2005),
Date(31,December,2006));
for (Size i=0; i<std::min<Size>(hol.size(), expectedHol.size()); i++) {
if (hol[i]!=expectedHol[i])
BOOST_FAIL("expected holiday was " << expectedHol[i]
<< " while calculated holiday is " << hol[i]);
}
if (hol.size()!=expectedHol.size())
BOOST_FAIL("there were " << expectedHol.size()
<< " expected holidays, while there are " << hol.size()
<< " calculated holidays");
}
test_suite* CalendarTest::suite() {
test_suite* suite = BOOST_TEST_SUITE("Calendar tests");
suite->add(BOOST_TEST_CASE(&CalendarTest::testBrazil));
// suite->add(BOOST_TEST_CASE(&CalendarTest::testItalySettlement));
suite->add(BOOST_TEST_CASE(&CalendarTest::testItalyExchange));
suite->add(BOOST_TEST_CASE(&CalendarTest::testUKSettlement));
suite->add(BOOST_TEST_CASE(&CalendarTest::testUKExchange));
suite->add(BOOST_TEST_CASE(&CalendarTest::testUKMetals));
// suite->add(BOOST_TEST_CASE(&CalendarTest::testGermanySettlement));
suite->add(BOOST_TEST_CASE(&CalendarTest::testGermanyFrankfurt));
suite->add(BOOST_TEST_CASE(&CalendarTest::testGermanyXetra));
suite->add(BOOST_TEST_CASE(&CalendarTest::testGermanyEurex));
suite->add(BOOST_TEST_CASE(&CalendarTest::testTARGET));
suite->add(BOOST_TEST_CASE(&CalendarTest::testUSSettlement));
suite->add(BOOST_TEST_CASE(&CalendarTest::testUSGovernmentBondMarket));
suite->add(BOOST_TEST_CASE(&CalendarTest::testUSNewYorkStockExchange));
suite->add(BOOST_TEST_CASE(&CalendarTest::testModifiedCalendars));
suite->add(BOOST_TEST_CASE(&CalendarTest::testJointCalendars));
return suite;
}