[Quantlib-dev] US Exchange Calendar

[Hasmet A. <ha...@ya...>]

I was doing some backtesting and noticed a slight
discrepancy betwen the business days generated by
UnitedStates::ExchangeImpl::isBusinessDay and our
pricing database. The problem results from the fact
that isBusinessDay implements current NYSE
regulations, which have not been constant. Based on
what I have:

1) Washington's birthday has been an exchange holiday
only since 1998.
2) Until 1984, US Presidential Election Days were
exchange holidays.

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?

Anyway, I modified unitedstates.cpp to incorporate
what I need and would be happy to help others on this
issue. In any case, the modifications are
straightforward once the exceptions are known.

Regards,

Hasmet