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RE: [Quantlib-users] Re: [Quantlib-dev] new quantlib calendars
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From: Jeff Y. <jj...@md...> - 2004-04-22 21:20:08
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Ferdinando & Company:
Attached are the codes I use to load the holiday schedule from an
external file. Here is a brief description:
1. The name of the object to load the external file is called
"CalendarLoader", it takes at least two input variables in order to
instantiate itself: a Calendar object, and the name of the external
file that contains the holiday schedule (fully quanlified path is
expected). The optional input is the delimiter used in the holiday
schedule.
2. The format of the holiday schedule is City=YYYYMMDD, user can replace
the equal sign with other characters, the default is the equal sign;
The name of the city should match Calendar.name().
3. I have modified all the codes so they are default to namespace
QuantLib.
4. I initially intend to put them under ql/FileLoader location, you can
change them whenever you see fit.
5. "test.cpp" is the sample program shows how to use it.
With this loader, the holiday schedule can be updated dynamically
provided the "city" class is already created. I hope QuantLib community
would find this a useful add-on, of course any feedback would be greatly
appreciated it.
Cheers,
Jeff
-----Original Message-----
From: qua...@li...
[mailto:qua...@li...] On Behalf Of
Xav...@fi...
Sent: Thursday, April 22, 2004 3:34 AM
To: Ferdinando Ametrano
Cc: lui...@fa...; qua...@li...;
QuantLib-users; qua...@li...
Subject: Re: [Quantlib-users] Re: [Quantlib-dev] new quantlib calendars
Ferdinando,
a) not all holidays have been documented in the hpp file. This can be
easily fixed.
I understood from the hpp files that you only listed the days for which
an
algorithm is available or the day is fixed.
I will try to list the other ones.
b) Lunar New Year, Tomb Sweeping, Dragon Boat, Mid-Autumn Festival,
Buddha's birthday, Harvest Moon, Tuen NG Festival, Chung Yeung fest, ecc
are provided for 2004, 2005, 2006. Is there an algorithm for calculating
them? If the algo is not easy shouldn't we tabulate them as we do for
Easter Monday?
Yes, there is one algorithm for the Lunar New Year but it looks very
complex.
Furthermore, the bank holidays for the Lunar new year are not the same
for
HongKong, Seoul and Taiwan for example.
Buddha's birthday is not the same day for HongKong and Seoul in 2005
unless
there is an error on the derivatives exchange website.
Tomb Sweeping day should be celebrated two weeks after the vernal
equinox,
for this one the algorithm is certainly available but we need to check
the
dates with the algorithm and I don't have enough time to do that.
This is a good idea to tabulate them as easter monday.
For the other ones I don't know and the informations I got from the
derivatives exchange don't go farther than 2006 because it is linked to
the
settlement days of Futures products
c) Honk Kong calendar: you list "Day after Good Friday", but since this
is
a Saturday it shouldn't be listed as a separate holiday. Am I wrong?
You're rigth, day after Godd Friday is redundant, this is listed by the
HongKong exchange for 2004 (not in 2005) this is why I inserted it.
Xavier
Ferdinando Ametrano
<na...@am...> To:
lui...@fa..., Xav...@fi...
Sent by: cc:
qua...@li..., QuantLib-users
qua...@li...
<qua...@li...>
eforge.net Subject:
[Quantlib-users] Re: [Quantlib-dev] new quantlib calendars
21/04/2004 18:56
Xavier
thank you for the contribution.
In addition to Luigi's questions:
>1) is the copyright owned by you or FIMAT?
>2) in either case, can you get from FIMAT a statement that it's ok for
>them if you contribute code under the QuantLib license?
>3) is there any particular reason you don't name the official source
>for the calendar info? Otherwise, it'd be nice to put it in the docs.
a) not all holidays have been documented in the hpp file. This can be
easily fixed.
b) Lunar New Year, Tomb Sweeping, Dragon Boat, Mid-Autumn Festival,
Buddha's birthday, Harvest Moon, Tuen NG Festival, Chung Yeung fest, ecc
are provided for 2004, 2005, 2006. Is there an algorithm for calculating
them? If the algo is not easy shouldn't we tabulate them as we do for
Easter Monday?
c) Honk Kong calendar: you list "Day after Good Friday", but since this
is
a Saturday it shouldn't be listed as a separate holiday. Am I wrong?
ciao -- Nando
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