コード例 #1
0
ファイル: test_dtvals.py プロジェクト: telia-oss/birgitta
def test_isholiday():
    assert dtvals.isholiday()
    assert dtvals.isholiday(None)
    assert dtvals.isholiday(date=None)
    assert not dtvals.isholiday(date=datetime.date(2018, 12, 22))
    assert not dtvals.isholiday(datetime.date(2018, 12, 22))
    assert dtvals.isholiday()
    assert dtvals.isholiday(None, None)
    assert dtvals.isholiday(hdays=None)
    assert dtvals.isholiday(date=datetime.date(2019, 1, 14),
                            hdays=holidays.Japan())
    assert not dtvals.isholiday(date=datetime.date(2019, 1, 15),
                                hdays=holidays.Japan())
コード例 #2
0
def holiday_adjust(trade_date, delta):
    forward_date = trade_date + delta
    year = forward_date.year
    # if trade_date is holiday
    if (forward_date in hol.Australia() or forward_date in hol.US()
            or forward_date in hol.UK() or forward_date in hol.Japan()):
        forward_date = forward_date + dt.timedelta(days=1)
        holiday_adjust(forward_date, dt.timedelta())
    # date is weekend
    elif forward_date.weekday() >= 5:
        forward_date = forward_date + dt.timedelta(days=1)
        holiday_adjust(forward_date, dt.timedelta())
    return forward_date
コード例 #3
0
ファイル: structuredSwap.py プロジェクト: robop/xjob
    def __init__(self,
                 nominal,
                 initial,
                 knockIn,
                 knockOut,
                 highRate,
                 lowRate,
                 strike,
                 startDate,
                 endDate,
                 frequency,
                 currency,
                 dayCount="Act/365",
                 adjMethod="Mod. Following",
                 isStub=True):
        self.nominal = nominal
        self.startDate = startDate
        self.endDate = endDate
        self.frequency = frequency
        self.dayCount = dayCount
        self.adjMethod = adjMethod
        self.currency = currency
        self.isStub = isStub
        self.initial = initial
        self.knockInLevel = knockIn * initial
        self.knockOutLevel = knockOut * initial
        self.highRate = highRate
        self.lowRate = lowRate
        self.strikeLevel = strike * initial

        #""" Additional structure to store prices for different dates: Makes it faster and easier to run bootstrap """
        self.prices = {}

        if self.currency == "USD":
            self.holidayArray = holidays.UnitedStates()
        elif self.currency == "SEK":
            self.holidayArray = holidays.Sweden()
        elif self.currency == "JPY":
            self.holidayArray = holidays.Japan()

        self.cfDates = DateUtils.GenerateCashFlowDates(startDate, endDate,
                                                       None, frequency,
                                                       adjMethod, isStub,
                                                       self.holidayArray)
        self.pv = 0.0
        self.cfs = []
        self.cfPVs = []
        self.cfDays = []
        self.dfs = []
        self.pvTotal = 0.0
コード例 #4
0
    def __init__(
            self,
            nominal,
            startDate,
            endDate,
            spread,
            frequency,
            currency,
            # koProb,
            dayCount="Act/365",
            adjMethod="Mod. Following",
            isStub=True):
        self.nominal = nominal
        self.startDate = startDate
        self.endDate = endDate
        self.spread = spread
        self.frequency = frequency
        self.dayCount = dayCount
        self.adjMethod = adjMethod
        self.currency = currency
        # self.koProb = koProb
        self.isStub = isStub

        #""" Additional structure to store prices for different dates: Makes it faster and easier to run bootstrap """
        self.prices = {}

        if self.currency == "USD":
            self.holidayArray = holidays.UnitedStates()
        elif self.currency == "SEK":
            self.holidayArray = holidays.Sweden()
        elif self.currency == "JPY":
            self.holidayArray = holidays.Japan()

        self.cfDates = DateUtils.GenerateCashFlowDates(startDate, endDate,
                                                       None, frequency,
                                                       adjMethod, isStub,
                                                       self.holidayArray)
        self.pv = 0.0
        self.cfs = []
        self.cfPVs = []
        self.cfDays = []
        self.dfs = []
        self.pvTotal = 0.0
コード例 #5
0
    def TellMarkets(self):

        # Grabs the Current time in two different formats, adjust in future
        today = datetime.date.today()
        currentTime = datetime.datetime.utcnow().replace(tzinfo=pytz.utc)

        # standard holidays for United States, Great Britian, Japan, and Australia
        us_holidays = holidays.US()
        britian_holidays = holidays.England()
        japan_holidays = holidays.Japan()
        australia_holidays = holidays.Australia()
        # Exchange Holiday is not included in the Standard Holiday's of Japan
        exchange_holiday = "{}-12-31".format(currentTime.year)
        japan_holidays.append({exchange_holiday: "Exchange Holiday"})
        # Translator needed because Japanese holiday's are returned in Japanese
        translator = Translator()

        # The Holidays that close Markets In the Given Countries, Unsure if all of Japan's Holiday's Close the Currency Markets
        us_market_holidays = [
            "New Year's Day",
            "Martin Luther King, Jr. Day",
            "Presidents Day or Washington's Birthday",
            "Good Friday",
            "Memorial Day",
            "Independence Day",
            "Labor Day",
            "Thanksgiving Day",
            "Christmas Day",
        ]

        britian_market_holidays = [
            "New Year's Day",
            "Good Friday",
            "Easter Monday",
            "May Day",
            "Spring Bank Holiday",
            "Summer Bank Holiday",
            "Christmas Day",
            "Boxing Day",
            "Exchange Holiday",
        ]

        japan_market_holidays = [
            "New Year's Day",
            "Adult Day",
            "Foundation Day",
            "Vernal Equinox Day",
            "Showa Day",
            "Constitution Memorial Day",
            "Greenery Day",
            "Children's Day",
            "Sea Day",
            "Respect for the Aged Day",
            "Autumnal Equinox Day",
            "Health and Sports Day",
            "Culture Day",
            "Labor Thanksgiving Day",
            "The birth of the Emperor",
            "Exchange Holiday",
        ]

        australian_market_holidays = [
            "New Year's Day",
            "Australia Day",
            "Good Friday",
            "Easter Monday",
            "Anzac Day",
            "Queen's Birthday",
            "Christmas Day",
            "Boxing Day",
        ]

        us_has_holiday = False
        japan_has_holiday = False
        britian_has_holiday = False
        australia_has_holiday = False
        markets_closed = False

        if int(currentTime.weekday()) == 4 or 5 or 6:
            if currentTime.hour >= 21 and int(currentTime.weekday()) == 4:
                markets_closed = True
            if currentTime.hour < 21 and int(currentTime.weekday()) == 6:
                markets_closed = True
            if int(currentTime.weekday()) == 5:
                markets_closed = True

        if markets_closed == True:
            self.open_markets = 'None'
            return self

        if us_holidays.get(today) is not None:
            for i in us_market_holidays:
                if us_holidays.get(today) == i:
                    self.returned_items['US-Holiday'] = us_holidays.get(today)
                    us_has_holiday = True

        if britian_holidays.get(today) is not None:
            for i in britian_market_holidays:
                if britian_holidays.get(today) == i:
                    self.returned_items[
                        'British-Holiday'] = britian_holidays.get(today)
                    britian_has_holiday = True

        if japan_holidays.get(today) is not None:
            holiday_in_english = translator.translate(
                japan_holidays.get(today))
            for i in japan_market_holidays:
                if holiday_in_english.text == i:
                    self.returned_items[
                        'Japanese-Holiday'] = holiday_in_english
                    japan_has_holiday = True

        if australia_holidays.get(today) is not None:
            for i in australian_market_holidays:
                if australia_holidays == i:
                    self.returned_items[
                        'Australian-Holiday'] = australia_holidays.get(today)
                    australia_has_holiday = True

        # checks to see if we are in daylight saving time
        #  need to make dynamic for what is being returned

        if bool(datetime.datetime.now(pytz.timezone("UTC")).dst()):
            if currentTime.hour >= 22 or currentTime.hour == 7:
                if not australia_has_holiday:
                    self.open_markets.append('Australia')

            if currentTime.hour >= 23 or currentTime.hour <= 8:
                if not japan_has_holiday:
                    self.open_markets.append('Japan')

            if currentTime.hour >= 7 and currentTime.hour <= 16:
                if not britian_has_holiday:
                    self.open_markets.append('Britian')

            if currentTime.hour >= 13 and currentTime.hour <= 21:
                if not us_has_holiday:
                    self.open_markets.append('US')

        else:
            if currentTime.hour >= 20 and currentTime.hour <= 5:
                if not australia_has_holiday:
                    self.open_markets.append('Australia')
            if currentTime.hour >= 22 or currentTime.hour == 7:
                if not japan_has_holiday:
                    self.open_markets.append('Japan')
            if currentTime.hour >= 7 and currentTime.hour <= 16:
                if not britian_has_holiday:
                    self.open_markets.append('Britian')
            if currentTime.hour >= 12 and currentTime.hour <= 21:
                if not us_has_holiday:
                    self.open_markets.append('US')

        return (self)
コード例 #6
0
 def setUp(self):
     self.holidays = holidays.Japan(observed=False)