Re: [Quantlib-users] Question about JointCalendar

[Luigi B. <lui...@gm...>]

Hello Steve,
    when you join two calendars, you can join their holidays (i.e., a day
is a holiday if it is for any of them) or you can join their business days
(i.e., a day is a holiday if it is for both of them).  The default is the
first behavior, so date1 is a holiday for the joint calendar because it's a
holiday for cdr2 and date2 because it's a holiday for cdr1.
If you want the opposite behavior, use
cdr3=ql.JointCalendar(cdr1,cdr2,ql.JoinBusinessDays)
instead.

Luigi


On Mon, Feb 13, 2023 at 9:45 AM Steve Hsieh <war...@gm...> wrote:

>
> Hi all,
>
> I’m doing some study on JointCalendar.
>
> I make two calendar and remove one holiday for each calendar respectively.
>
> Then I make a joint calendar to combine the above calendars.
>
> I use isBusinessDay to check if I can get the desired result.
>
> I find joint calendar doesn’t return the expected result as both calendars.
>
> If I am not using JointCalendar correctly?
>
>
>
>
>
> import QuantLib as ql
>
> cdr1=ql.UnitedStates(ql.UnitedStates.LiborImpact)
>
> cdr2=ql.UnitedStates(ql.UnitedStates.Settlement)
>
> date1=ql.Date(11, 2 , 2023)
>
> date2=ql.Date(12, 2 , 2023)
>
> cdr1.removeHoliday(date1)
>
> cdr2.removeHoliday(date2)
>
> cdr3=ql.JointCalendar(cdr1,cdr2)
>
>
>
> print(cdr1.isBusinessDay(date1))
>
> =>return True
>
>
>
> print(cdr2.isBusinessDay(date2))
>
> =>return True
>
>
>
> print(cdr3.isBusinessDay(date1))
>
> =>return False , why ?
>
>
>
> print(cdr3.isBusinessDay(date2))
>
> =>return Fasle , why ?
>
>
>
> Regards,
>
> Steve
>
>
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