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Re: [Quantlib-users] Question about JointCalendar
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From: Steve H. <war...@gm...> - 2023-02-14 06:50:21
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Hi Luigi, Can I ask one more question? I have two calendar variables which link to same US calendar. When I remove cdr2’s holiday, it also changes cdr1’s holiday? It looks like that the Calendar in QuantLib is a default global object ? If it is, is there any way I can separate the object ? import QuantLib as ql cdr1=ql.UnitedStates(ql.UnitedStates.LiborImpact) cdr2=ql.UnitedStates(ql.UnitedStates.LiborImpact) print(cdr1.isBusinessDay(date1)) =>return false cdr2.removeHoliday(date1) print(cdr1.isBusinessDay(date1)) =>return true , why ? Regards, Steve On Mon, Feb 13, 2023 at 8:17 PM Steve Hsieh <war...@gm...> wrote: > Hi Luigi, > Thank you very much for your reply. > It does help. > > Regards, > Steve > > > Luigi Ballabio <lui...@gm...> 於 2023年2月13日 週一 下午7:34寫道： > >> 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 >>> >>> >>> _______________________________________________ >>> QuantLib-users mailing list >>> Qua...@li... >>> https://lists.sourceforge.net/lists/listinfo/quantlib-users >>> >> |
