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()