Fix for the Brazilian settlement calendar (thanks to Piter Dias)

yeatech · Oct 22, 2007 · 335913a · 335913a
1 parent 9c9ed6b
commit 335913a
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Showing 4 changed files with 1 addition and 6 deletions.
diff --git a/ql/time/calendars/brazil.cpp b/ql/time/calendars/brazil.cpp
@@ -65,8 +65,6 @@ namespace QuantLib {
             || (d == 2 && m == November)
             // Republic Day
             || (d == 15 && m == November)
-            // Black Consciousness Day
-            || (d == 20 && m == November && y >= 2004)
             // Christmas
             || (d == 25 && m == December)
             // Passion of Christ

diff --git a/ql/time/calendars/brazil.hpp b/ql/time/calendars/brazil.hpp
@@ -41,7 +41,6 @@ namespace QuantLib {
         <li>Nossa Sra. Aparecida Day, October 12th</li>
         <li>All Souls Day, November 2nd</li>
         <li>Republic Day, November 15th</li>
-        <li>Black Consciousness Day, November 20th (since 2004)</li>
         <li>Christmas, December 25th</li>
         <li>Passion of Christ</li>
         <li>Carnival</li>

diff --git a/test-suite/bonds.cpp b/test-suite/bonds.cpp
@@ -804,7 +804,7 @@ void BondTest::testBrazilianCached() {
     vars.faceAmount = 1000.0;
 
     // The tolerance is high because Andima truncate yields
-    Real tolerance = 2.0; //1.0e-4;
+    Real tolerance = 1.0e-4;
 
     std::vector<InterestRate> couponRates(1);
     couponRates[0] = InterestRate(0.1,Thirty360(),Compounded,Annual);

diff --git a/test-suite/calendars.cpp b/test-suite/calendars.cpp
@@ -704,7 +704,6 @@ void CalendarTest::testBrazil() {
     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(20,November,2005)); // Sunday
     //expectedHol.push_back(Date(25,December,2005)); // Sunday
 
     //expectedHol.push_back(Date(1,January,2006)); // Sunday
@@ -718,7 +717,6 @@ void CalendarTest::testBrazil() {
     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(20,November,2006));
     expectedHol.push_back(Date(25,December,2006));
 
     Calendar c = Brazil();