class ScheduleMethodTestCase(unittest.TestCase):
def setUp(self):
self.from_date = Date(1, Jan, 2011)
self.to_date = Date(31, Dec, 2011)
self.tenor = Period(4, Weeks)
self.calendar = UnitedKingdom()
self.convention = Following
self.termination_convention = Preceding
self.rule = Twentieth
self.schedule = Schedule(self.from_date, self.to_date, self.tenor,
self.calendar, self.convention,
self.termination_convention, self.rule)
def test_size(self):
self.assertEquals(15, self.schedule.size())
def test_dates(self):
expected_dates_length = self.schedule.size()
dates = list(self.schedule.dates())
self.assertEquals(expected_dates_length, len(dates))
def test_at(self):
expected_date = self.calendar.adjust(self.from_date, Following)
self.assertTrue(expected_date == self.schedule.at(0))
next_date = self.calendar.adjust(self.from_date + Period(4, Weeks),
Following)
expected_date = Date(20, next_date.month, next_date.year)
self.assertTrue(expected_date == self.schedule.at(1))
def test_previous_next_reference_date(self):
from_date = Date(3, Sep, 2011)
to_date = Date(15, Dec, 2011)
tenor = Period(1, Months)
calendar = UnitedKingdom()
convention = Following
termination_convention = Following
rule = Forward
fwd_schedule = Schedule(from_date, to_date, tenor, calendar,
convention, termination_convention, rule)
expected_date = Date(5, Sep, 2011)
self.assert_(expected_date == fwd_schedule.next_date(from_date))
rule = Backward
bwd_schedule = Schedule(from_date, to_date, tenor, calendar,
convention, termination_convention, rule)
expected_date = Date(15, Nov, 2011)
self.assert_(expected_date == bwd_schedule.previous_date(to_date))
def test_is_business_day(self):
ukcal = UnitedKingdom()
bank_holiday_date = Date(3, May, 2010) #Early May Bank Holiday
business_day = Date(28, March, 2011)
self.assertFalse(ukcal.is_business_day(bank_holiday_date))
self.assertTrue(ukcal.is_business_day(business_day))
def test_is_business_day(self):
ukcal = UnitedKingdom()
bank_holiday_date = Date(3, May, 2010) #Early May Bank Holiday
business_day = Date(28, March, 2011)
self.assertFalse(ukcal.is_business_day(bank_holiday_date))
self.assertTrue(ukcal.is_business_day(business_day))
def setUp(self):
self.from_date = Date(1, Jan, 2011)
self.to_date = Date(31, Dec, 2011)
self.tenor = Period(4, Weeks)
self.calendar = UnitedKingdom()
self.convention = Following
self.termination_convention = Preceding
self.rule = Twentieth
self.schedule = Schedule(self.from_date, self.to_date, self.tenor,
self.calendar, self.convention,
self.termination_convention, self.rule)
def test_business_days_between_dates(self):
ukcal = UnitedKingdom()
date1 = Date(30, May, 2011)
# 30st of May is Spring Bank Holiday
date2 = Date(3, June, 2011)
day_count = ukcal.business_days_between(date1, date2, include_last=True)
self.assertEqual(4, day_count)
def test_business_days_between_dates(self):
ukcal = UnitedKingdom()
date1 = Date(30, May, 2011)
# 30st of May is Spring Bank Holiday
date2 = Date(3, June, 2011)
day_count = ukcal.business_days_between(date1, date2, include_last=True)
self.assertEquals(4, day_count)
def test_calendar_date_advance(self):
ukcal = UnitedKingdom()
bank_holiday_date = Date(3, May, 2010) #Early May Bank Holiday
advanced_date = ukcal.advance(bank_holiday_date, step=6, units=Months)
expected_date = Date(3, November, 2010)
self.assertTrue(expected_date == advanced_date)
period_10days = Period(10, Days)
advanced_date = ukcal.advance(bank_holiday_date, period=period_10days)
expected_date = Date(17, May, 2010)
self.assertTrue(expected_date == advanced_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_date_advance(self):
ukcal = UnitedKingdom()
bank_holiday_date = Date(3, May, 2010) #Early May Bank Holiday
advanced_date = ukcal.advance(bank_holiday_date, step=6, units=Months)
expected_date = Date(3, November, 2010)
self.assertTrue(expected_date == advanced_date)
period_10days = Period(10, Days)
advanced_date = ukcal.advance(bank_holiday_date, period=period_10days)
expected_date = Date(17, May, 2010)
self.assertTrue(expected_date == advanced_date)
def test_calendar_creation(self):
calendar = TARGET()
self.assertEqual('TARGET', calendar.name)
ukcalendar = UnitedKingdom()
self.assertEqual('UK settlement', ukcalendar.name)
lse_cal = UnitedKingdom(market=EXCHANGE)
self.assertEqual('London stock exchange', lse_cal.name)
null_calendar = NullCalendar()
self.assertEqual('Null', null_calendar.name)
def test_adjust_business_day(self):
ukcal = UnitedKingdom()
bank_holiday_date = Date(3, May, 2010) # Early May Bank Holiday
adjusted_date = ukcal.adjust(bank_holiday_date)
following_date = bank_holiday_date + 1
self.assertTrue(following_date == adjusted_date)
adjusted_date = ukcal.adjust(bank_holiday_date, convention=Preceding)
following_date = bank_holiday_date - 3 # bank holiday is a Monday
self.assertTrue(following_date == adjusted_date)
adjusted_date = ukcal.adjust(bank_holiday_date, convention=ModifiedPreceding)
following_date = bank_holiday_date + 1 # Preceding is on a different
# month
self.assertTrue(following_date == adjusted_date)
def test_holiday_list_acces_and_modification(self):
ukcal = UnitedKingdom()
holidays = list(holiday_list(ukcal, Date(1, Jan, 2011), Date(31, 12, 2011)))
self.assertEquals(UK_HOLIDAYS_2011, len(holidays))
new_holiday_date = Date(23, August, 2011)
ukcal.add_holiday(new_holiday_date)
holidays = list(holiday_list(ukcal, Date(1, Jan, 2011), Date(31, 12, 2011)))
self.assertEquals(UK_HOLIDAYS_2011 + 1, len(holidays))
ukcal.remove_holiday(new_holiday_date)
holidays = list(holiday_list(ukcal, Date(1, Jan, 2011), Date(31, 12, 2011)))
self.assertEquals(UK_HOLIDAYS_2011, len(holidays))
def test_adjust_business_day(self):
ukcal = UnitedKingdom()
bank_holiday_date = Date(3, May, 2010) #Early May Bank Holiday
adjusted_date = ukcal.adjust(bank_holiday_date)
following_date = bank_holiday_date + 1
self.assertTrue(following_date == adjusted_date)
adjusted_date = ukcal.adjust(bank_holiday_date, convention=Preceding)
following_date = bank_holiday_date - 3 # bank holiday is a Monday
self.assertTrue(following_date == adjusted_date)
adjusted_date = ukcal.adjust(bank_holiday_date,
convention=ModifiedPreceding)
following_date = bank_holiday_date + 1 # Preceding is on a different
# month
self.assertTrue(following_date == adjusted_date)
class CalendarFactory:
_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 test_holiday_list_acces_and_modification(self):
ukcal = UnitedKingdom()
holidays = ukcal.holiday_list(Date(1, Jan, 2011), Date(31, 12, 2011))
self.assertEqual(UK_HOLIDAYS_2011, len(holidays))
new_holiday_date = Date(23, August, 2011)
ukcal.add_holiday(new_holiday_date)
holidays = ukcal.holiday_list(Date(1, Jan, 2011), Date(31, 12, 2011))
self.assertEqual(UK_HOLIDAYS_2011 + 1, len(holidays))
ukcal.remove_holiday(new_holiday_date)
holidays = ukcal.holiday_list(Date(1, Jan, 2011), Date(31, 12, 2011))
self.assertEqual(UK_HOLIDAYS_2011, len(holidays))
def setUp(self):
self.from_date = Date(1, Jan, 2011)
self.to_date = Date(31, Dec, 2011)
self.tenor = Period(4, Weeks)
self.calendar = UnitedKingdom()
self.convention = Following
self.termination_convention = Preceding
self.rule = Twentieth
self.schedule = Schedule.from_rule(
self.from_date, self.to_date, self.tenor, self.calendar,
self.convention, self.termination_convention, self.rule
)
def test_joint(self):
ukcal = UnitedKingdom()
uscal = UnitedStates()
bank_holiday_date = Date(3, May, 2010) #Early May Bank Holiday
thanksgiving_holiday_date = Date(22, Nov, 2012)
jtcal = JointCalendar(ukcal, uscal, JOINHOLIDAYS)
self.assertFalse(jtcal.is_business_day(bank_holiday_date))
self.assertFalse(jtcal.is_business_day(thanksgiving_holiday_date))
jtcal = JointCalendar(ukcal, uscal, JOINBUSINESSDAYS)
self.assertTrue(jtcal.is_business_day(bank_holiday_date))
self.assertTrue(jtcal.is_business_day(thanksgiving_holiday_date))
def test_schedule_from_dates(self):
dates = [Date(3, Sep, 2011), Date(5, Nov, 2011), Date(15, Dec, 2011)]
tenor = Period(1, Months)
calendar = UnitedKingdom()
convention = Following
termination_convention = Following
rule = Forward
schedule = Schedule.from_dates(dates, calendar, convention,
termination_convention, tenor, rule)
expected_date = Date(3, Sep, 2011)
self.assert_(expected_date == schedule.next_date(Date(3, Sep, 2011)))
expected_date = Date(5, Nov, 2011)
self.assert_(expected_date == schedule.next_date(Date(4, Sep, 2011)))
expected_date = Date(15, Dec, 2011)
self.assert_(expected_date == schedule.next_date(Date(6, Nov, 2011)))
def test_previous_next_reference_date(self):
from_date = Date(3, Sep, 2011)
to_date = Date(15, Dec, 2011)
tenor = Period(1, Months)
calendar = UnitedKingdom()
convention = Following
termination_convention = Following
rule = Forward
fwd_schedule = Schedule(from_date, to_date, tenor, calendar, convention,
termination_convention, rule)
expected_date = Date(5, Sep, 2011)
self.assertEqual(expected_date, fwd_schedule.next_date(from_date))
rule = Backward
bwd_schedule = Schedule(from_date, to_date, tenor, calendar, convention,
termination_convention, rule)
expected_date = Date(15, Nov, 2011)
self.assertEqual(expected_date, bwd_schedule.previous_date(to_date))
def test_create_schedule(self):
from_date = Date(1, Jan, 2011)
to_date = Date(31, Dec, 2011)
tenor = Period(3, Weeks)
calendar = UnitedKingdom()
convention = Following
termination_convention = Following
rule = Forward
schedule = Schedule(from_date, to_date, tenor, calendar, convention,
termination_convention, rule)
self.assertIsNotNone(schedule)
for date in schedule.dates():
pass
# Constructor using the defaults for the different conventions
schedule = Schedule(from_date, to_date, tenor, calendar)
self.assertIsNotNone(schedule)
def test_holiday_list_acces_and_modification(self):
ukcal = UnitedKingdom()
holidays = list(
holiday_list(ukcal, Date(1, Jan, 2011), Date(31, 12, 2011)))
self.assertEquals(8, len(holidays))
new_holiday_date = Date(23, August, 2011)
ukcal.add_holiday(new_holiday_date)
holidays = list(
holiday_list(ukcal, Date(1, Jan, 2011), Date(31, 12, 2011)))
self.assertEquals(9, len(holidays))
ukcal.remove_holiday(new_holiday_date)
holidays = list(
holiday_list(ukcal, Date(1, Jan, 2011), Date(31, 12, 2011)))
self.assertEquals(8, len(holidays))
class ScheduleMethodTestCase(unittest.TestCase):
def setUp(self):
self.from_date = Date(1, Jan, 2011)
self.to_date = Date(31, Dec, 2011)
self.tenor = Period(4, Weeks)
self.calendar = UnitedKingdom()
self.convention = Following
self.termination_convention = Preceding
self.rule = Twentieth
self.schedule = Schedule.from_rule(
self.from_date, self.to_date, self.tenor, self.calendar,
self.convention, self.termination_convention, self.rule
)
def test_size(self):
self.assertEqual(15, self.schedule.size())
self.assertEqual(15, len(self.schedule))
def test_dates(self):
expected_dates_length = self.schedule.size()
dates = list(self.schedule.dates())
self.assertEqual(expected_dates_length, len(dates))
def test_iter_dates(self):
expected_dates_length = self.schedule.size()
dates= [date for date in self.schedule]
self.assertEqual(expected_dates_length, len(dates))
def test_at(self):
expected_date = self.calendar.adjust(self.from_date, Following)
self.assertEqual(expected_date, self.schedule.at(0))
self.assertEqual(expected_date, self.schedule[0])
next_date = self.calendar.adjust(
self.from_date + Period(4, Weeks), Following
)
expected_date = Date(20, next_date.month, next_date.year)
self.assertEqual(expected_date, self.schedule.at(1))
self.assertEqual(expected_date, self.schedule[1])
def test_previous_next_reference_date(self):
from_date = Date(3, Sep, 2011)
to_date = Date(15, Dec, 2011)
tenor = Period(1, Months)
calendar = UnitedKingdom()
convention = Following
termination_convention = Following
rule = Forward
fwd_schedule = Schedule.from_rule(from_date, to_date,
tenor, calendar, convention, termination_convention, rule)
expected_date = Date(5, Sep, 2011)
self.assertEqual(expected_date, fwd_schedule.next_date(from_date))
rule = Backward
bwd_schedule = Schedule.from_rule(from_date, to_date,
tenor, calendar, convention, termination_convention, rule)
expected_date = Date(15, Nov, 2011)
self.assertEqual(expected_date, bwd_schedule.previous_date(to_date))
def test_schedule_from_dates(self):
dates = [Date(3, Sep, 2011),
Date(5, Nov, 2011),
Date(15, Dec, 2011)]
tenor = Period(1, Months)
calendar = UnitedKingdom()
convention = Following
termination_convention = Following
rule = Forward
schedule = Schedule.from_dates(dates,
calendar, convention, termination_convention, tenor, rule)
expected_date = Date(3, Sep, 2011)
self.assert_(expected_date == schedule.next_date(Date(3, Sep, 2011)))
expected_date = Date(5, Nov, 2011)
self.assert_(expected_date == schedule.next_date(Date(4, Sep, 2011)))
expected_date = Date(15, Dec, 2011)
self.assert_(expected_date == schedule.next_date(Date(6, Nov, 2011)))
class Calendars(dict):
'''
Wrapper for quantlib Calendar objects and methods.
Accepts python.datetime objects and strings
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 quantlib.time.calendar import TARGET
from quantlib.time.calendars.null_calendar import NullCalendar
from quantlib.time.calendars.germany import (
Germany, EUREX, FrankfurtStockExchange, SETTLEMENT as GER_SETTLEMENT,
EUWAX, XETRA
)
from quantlib.time.calendars.united_kingdom import (
EXCHANGE, METALS, SETTLEMENT as UK_SETTLEMENT,
UnitedKingdom
)
from 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, date, 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(pydate(date))
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, date, 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(pydate(date))
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, date, calendar=None):
if not calendar:
calendar = cls.TARGET()
elif not hasattr(calendar, "advance"):
return None
qldate = qldate_from_pydate(pydate(date))
try:
return calendar.is_business_day(qldate)
except:
try:
return calendar().is_business_day(qldate)
except:
return None
