UnitedStates Class Reference

United States calendars. More...

#include <ql/time/calendars/unitedstates.hpp>

Inheritance diagram for UnitedStates:

List of all members.

Public Types

enum  Market { Settlement, NYSE, GovernmentBond, NERC }
 

US calendars.

More...

Public Member Functions

 UnitedStates (Market market=Settlement)

Detailed Description

United States calendars.

Public holidays (see: http://www.opm.gov/fedhol/):

  • Saturdays
  • Sundays
  • New Year's Day, January 1st (possibly moved to Monday if actually on Sunday, or to Friday if on Saturday)
  • Martin Luther King's birthday, third Monday in January
  • Presidents' Day (a.k.a. Washington's birthday), third Monday in February
  • Memorial Day, last Monday in May
  • Independence Day, July 4th (moved to Monday if Sunday or Friday if Saturday)
  • Labor Day, first Monday in September
  • Columbus Day, second Monday in October
  • Veterans' Day, November 11th (moved to Monday if Sunday or Friday if Saturday)
  • Thanksgiving Day, fourth Thursday in November
  • Christmas, December 25th (moved to Monday if Sunday or Friday if Saturday)

Holidays for the stock exchange (data from http://www.nyse.com):

  • Saturdays
  • Sundays
  • New Year's Day, January 1st (possibly moved to Monday if actually on Sunday)
  • Martin Luther King's birthday, third Monday in January (since 1998)
  • Presidents' Day (a.k.a. Washington's birthday), third Monday in February
  • Good Friday
  • Memorial Day, last Monday in May
  • Independence Day, July 4th (moved to Monday if Sunday or Friday if Saturday)
  • Labor Day, first Monday in September
  • Thanksgiving Day, fourth Thursday in November
  • Presidential election day, first Tuesday in November of election years (until 1980)
  • Christmas, December 25th (moved to Monday if Sunday or Friday if Saturday)
  • Special historic closings (see http://www.nyse.com/pdfs/closings.pdf)

Holidays for the government bond market (data from http://www.bondmarkets.com):

  • Saturdays
  • Sundays
  • New Year's Day, January 1st (possibly moved to Monday if actually on Sunday)
  • Martin Luther King's birthday, third Monday in January
  • Presidents' Day (a.k.a. Washington's birthday), third Monday in February
  • Good Friday
  • Memorial Day, last Monday in May
  • Independence Day, July 4th (moved to Monday if Sunday or Friday if Saturday)
  • Labor Day, first Monday in September
  • Columbus Day, second Monday in October
  • Veterans' Day, November 11th (moved to Monday if Sunday or Friday if Saturday)
  • Thanksgiving Day, fourth Thursday in November
  • Christmas, December 25th (moved to Monday if Sunday or Friday if Saturday)

Holidays for the North American Energy Reliability Council (data from http://www.nerc.com/~oc/offpeaks.html):

  • Saturdays
  • Sundays
  • New Year's Day, January 1st (possibly moved to Monday if actually on Sunday)
  • Memorial Day, last Monday in May
  • Independence Day, July 4th (moved to Monday if Sunday)
  • Labor Day, first Monday in September
  • Thanksgiving Day, fourth Thursday in November
  • Christmas, December 25th (moved to Monday if Sunday)
Tests:
the correctness of the returned results is tested against a list of known holidays.
Examples:

Bonds.cpp, and CallableBonds.cpp.


Member Enumeration Documentation

enum Market

US calendars.

Enumerator:
Settlement 

generic settlement calendar

NYSE 

New York stock exchange calendar.

GovernmentBond 

government-bond calendar

NERC 

off-peak days for NERC