def makeSchedule(firstDate,
endDate,
tenor,
calendar='NullCalendar',
dateRule=BizDayConventions.Following,
dateGenerationRule=DateGeneration.Forward):
cal = Calendar(calendar)
firstDate = check_date(firstDate)
endDate = check_date(endDate)
tenor = check_period(tenor)
if tenor.units() == TimeUnits.BDays:
schedule = []
if dateGenerationRule == DateGeneration.Forward:
d = cal.adjustDate(firstDate, dateRule)
while d <= endDate:
schedule.append(d)
d = cal.advanceDate(d, tenor, dateRule)
elif dateGenerationRule == DateGeneration.Backward:
d = cal.adjustDate(endDate, dateRule)
while d >= firstDate:
schedule.append(d)
d = cal.advanceDate(d, -tenor, dateRule)
schedule = sorted(schedule)
else:
schedule = Schedule(firstDate,
endDate,
tenor,
cal,
convention=dateRule,
dateGenerationRule=dateGenerationRule)
return [d.toDateTime() for d in schedule]
def get_pos_adj_date(start_date,
end_date,
formats="%Y-%m-%d",
calendar='China.SSE',
freq='m',
return_biz_day=False):
"""
:param start_date: str/datetime.datetime, start date of strategy
:param end_date: str/datetime.datetime, end date of strat egy
:param formats: optional, formats of the string date
:param calendar: str, optional, name of the calendar to use in dates math
:param freq: str, optional, the frequency of data
:param return_biz_day: bool, optional, if the return dates are biz days
:return: list of datetime.datetime, pos adjust dates
"""
if isinstance(start_date, str) and isinstance(end_date, str):
d_start_date = Date.strptime(start_date, formats)
d_end_date = Date.strptime(end_date, formats)
elif isinstance(start_date, datetime.datetime) and isinstance(
end_date, datetime.datetime):
d_start_date = Date.fromDateTime(start_date)
d_end_date = Date.fromDateTime(end_date)
cal = Calendar(calendar)
pos_adjust_date = Schedule(d_start_date, d_end_date,
Period(length=1, units=_freqDict[freq]), cal,
BizDayConventions.Unadjusted)
# it fails if setting dStartDate to be first adjustment date, then use Schedule to compute the others
# so i first compute dates list in each period, then compute the last date of each period
# last day of that period(month) is the pos adjustment date
if _freqDict[freq] == TimeUnits.Weeks:
pos_adjust_date = [
Date.nextWeekday(date, Weekdays.Friday)
for date in pos_adjust_date[:-1]
]
elif _freqDict[freq] == TimeUnits.Months:
pos_adjust_date = [
cal.endOfMonth(date) for date in pos_adjust_date[:-1]
]
elif _freqDict[freq] == TimeUnits.Years:
pos_adjust_date = [
Date(date.year(), 12, 31) for date in pos_adjust_date[:-1]
]
if return_biz_day:
pos_adjust_date = [
cal.adjustDate(date, BizDayConventions.Preceding)
for date in pos_adjust_date
]
pos_adjust_date = [Date.toDateTime(date) for date in pos_adjust_date]
pos_adjust_date = [
date for date in pos_adjust_date if date <= d_end_date.toDateTime()
]
return pos_adjust_date
def testCalendarWithDayConvention(self):
sseCal = Calendar('China.SSE')
referenceDate = Date(2015, 2, 14)
testDate = sseCal.adjustDate(referenceDate, BizDayConventions.HalfMonthModifiedFollowing)
self.assertEqual(testDate, Date(2015, 2, 13))
referenceDate = Date(2014, 2, 4)
testDate = sseCal.adjustDate(referenceDate, BizDayConventions.ModifiedPreceding)
self.assertEqual(testDate, Date(2014, 2, 7))
referenceDate = Date(2014, 2, 3)
testDate = sseCal.adjustDate(referenceDate, BizDayConventions.Nearest)
self.assertEqual(testDate, Date(2014, 2, 7))
referenceDate = Date(2014, 2, 2)
testDate = sseCal.adjustDate(referenceDate, BizDayConventions.Nearest)
self.assertEqual(testDate, Date(2014, 1, 30))
with self.assertRaises(ValueError):
_ = sseCal.adjustDate(referenceDate, -1)
def testAdjustDate(self):
# April 30, 2005 is a working day under IB, but a holiday under SSE
referenceDate = Date(2005, Months.April, 30)
sseCal = Calendar('China.SSE')
ibCal = Calendar('China.IB')
bizDayConv = BizDayConventions.Unadjusted
self.assertEqual(sseCal.adjustDate(referenceDate, bizDayConv), referenceDate)
self.assertEqual(ibCal.adjustDate(referenceDate, bizDayConv), referenceDate)
bizDayConv = BizDayConventions.Following
self.assertEqual(sseCal.adjustDate(referenceDate, bizDayConv), Date(2005, Months.May, 9))
self.assertEqual(ibCal.adjustDate(referenceDate, bizDayConv), Date(2005, Months.April, 30))
bizDayConv = BizDayConventions.ModifiedFollowing
self.assertEqual(sseCal.adjustDate(referenceDate, bizDayConv), Date(2005, Months.April, 29))
self.assertEqual(ibCal.adjustDate(referenceDate, bizDayConv), Date(2005, Months.April, 30))
def adjustDateByCalendar(holidayCenter, referenceDate, convention=BizDayConventions.Following):
cal = Calendar(holidayCenter)
refer = check_date(referenceDate)
return cal.adjustDate(refer, convention).toDateTime()
def adjustDateByCalendar(holidayCenter, referenceDate, convention=BizDayConventions.Following):
cal = Calendar(holidayCenter)
refer = Date.fromDateTime(referenceDate)
return cal.adjustDate(refer, convention).toDateTime()