def test_christmas_is_holiday(self):
calendar = TARGET()
date = Date(24,12, 2011)
self.assertTrue(calendar.is_holiday(date))
def test_christmas_is_holiday(self):
calendar = TARGET()
date = Date(24, 12, 2011)
self.assertTrue(calendar.is_holiday(date))
def test_calendar_creation(self):
calendar = TARGET()
self.assertEquals('TARGET', calendar.name())
ukcalendar = UnitedKingdom()
self.assertEquals('UK settlement', ukcalendar.name())
lse_cal = UnitedKingdom(market=EXCHANGE)
self.assertEquals('London stock exchange', lse_cal.name())
null_calendar = NullCalendar()
self.assertEquals('Null', null_calendar.name())
def test_calendar_creation(self):
calendar = TARGET()
self.assertEquals('TARGET', calendar.name())
ukcalendar = UnitedKingdom()
self.assertEquals('UK settlement', ukcalendar.name())
lse_cal = UnitedKingdom(market=EXCHANGE)
self.assertEquals('London stock exchange', lse_cal.name())
null_calendar = NullCalendar()
self.assertEquals('Null', null_calendar.name())
def test_iteration_on_date_list(self):
date_iterator = holiday_list(TARGET(), Date(1, Jan, 2000),
Date(1, Jan, 2001))
holidays = [
Date(21, Apr, 2000),
Date(24, Apr, 2000),
Date(1, May, 2000),
Date(25, Dec, 2000),
Date(26, Dec, 2000),
Date(1, Jan, 2001)
]
for date in date_iterator:
self.assertIn(date, holidays)
class Calendars(dict):
'''
Wrapper for quantlib Calendar objects and methods. Accepts python.datetime
objects instead of pyql.quantlib dates.
:adjust: Adjust date to business day
:advance: Advance date by specified period
:is_business_day: Checks date
can be used as a dict using name property of pyql.quantlib.calendar objects
for example:
Calendars()['TARGET'] returns TARGET calendar
'''
from pybg.quantlib.time.calendar import TARGET
from pybg.quantlib.time.calendars.null_calendar import NullCalendar
from pybg.quantlib.time.calendars.germany import (Germany, EUREX,
FrankfurtStockExchange,
SETTLEMENT as
GER_SETTLEMENT, EUWAX,
XETRA)
from pybg.quantlib.time.calendars.united_kingdom import (EXCHANGE, METALS,
SETTLEMENT as
UK_SETTLEMENT,
UnitedKingdom)
from pybg.quantlib.time.calendars.united_states import (UnitedStates,
GOVERNMENTBOND,
NYSE, NERC,
SETTLEMENT as
US_SETTLEMENT)
_lookup = dict([(cal.name(), cal) for cal in [
TARGET(),
NullCalendar(),
Germany(),
Germany(EUREX),
Germany(FrankfurtStockExchange),
Germany(GER_SETTLEMENT),
Germany(EUWAX),
Germany(XETRA),
UnitedKingdom(),
UnitedKingdom(EXCHANGE),
UnitedKingdom(METALS),
UnitedKingdom(UK_SETTLEMENT),
UnitedStates(),
UnitedStates(GOVERNMENTBOND),
UnitedStates(NYSE),
UnitedStates(NERC),
UnitedStates(US_SETTLEMENT)
]])
def __init__(self, *args):
dict.__init__(self, self._lookup)
self.update(*args)
@classmethod
def adjust(cls, pydate, calendar=None, convention=None):
if not calendar:
calendar = cls.TARGET()
elif not hasattr(calendar, "adjust"):
return None
if not convention:
convention = BusinessDayConventions.Following
qldate = qldate_from_pydate(parse_date(pydate))
try:
return pydate_from_qldate(calendar.adjust(qldate, convention))
except:
try:
return pydate_from_qldate(calendar().adjust(
qldate, convention))
except:
return None
@classmethod
def advance(cls, pydate, n, timeunit=None, calendar=None, convention=None):
"""
Advance pydate according the specified calendar and convention
:pydate: e.g. 19600809, date(1964, 9, 29), '5-23-1993'
:n: integer
:timeunit: e.g., enums.TimeUnits.Days
usage
-----
Note 9/6/1980 is a weekend
>>> Calendars.advance(19800906, 1)
datetime.date(1980, 9, 8)
"""
if not calendar:
calendar = cls.TARGET()
elif not hasattr(calendar, "advance"):
return None
if not convention:
convention = BusinessDayConventions.Following
if not timeunit:
timeunit = TimeUnits.Days
qldate = qldate_from_pydate(parse_date(pydate))
try:
return pydate_from_qldate(calendar.advance(qldate, n, timeunit))
except:
try:
return pydate_from_qldate(calendar().advance(
qldate, n, timeunit))
except:
print("failure {}".format(qldate))
return None
@classmethod
def is_business_day(cls, pydate, calendar=None):
if not calendar:
calendar = cls.TARGET()
elif not hasattr(calendar, "advance"):
return None
qldate = qldate_from_pydate(parse_date(pydate))
try:
return calendar.is_business_day(qldate)
except:
try:
return calendar().is_business_day(qldate)
except:
return None