def test_daily_schedule(self):
# Jan 2 and Jan 3 are skipped as New Year holiday
# Jan 7 is skipped as weekend
# Jan 8 is adjusted to Jan 9 with following convention
start_date = Date(2012, 1, 1)
s = Schedule(start_date, start_date + 7,
Period(length=1, units=TimeUnits.Days),
Calendar("China.SSE"), BizDayConventions.Preceding)
expected = [
Date(2011, 12, 30),
Date(2012, 1, 4),
Date(2012, 1, 5),
Date(2012, 1, 6),
Date(2012, 1, 9)
]
self.check_dates(s, expected)
# The schedule should skip Saturday 21st and Sunday 22rd.
# Previously, it would adjust them to Friday 20th, resulting
# in three copies of the same date.
start_date = Date(2012, 1, 17)
s = Schedule(start_date, start_date + 7,
Period(length=1, units=TimeUnits.Days),
Calendar("Target"), BizDayConventions.Preceding)
expected = [
Date(2012, 1, 17),
Date(2012, 1, 18),
Date(2012, 1, 19),
Date(2012, 1, 20),
Date(2012, 1, 23),
Date(2012, 1, 24)
]
self.check_dates(s, expected)
def test_calendar_construction_is_insensitive_of_case(self):
cal1 = Calendar('NullCalendar')
cal2 = Calendar('nullcalendar')
should_be_true = cal1 == cal2
self.assertTrue(should_be_true)
calto_be_different = Calendar('China.SSE')
should_be_false = cal1 == calto_be_different
self.assertFalse(should_be_false)
def testChinaIB(self):
# China Inter Bank working weekend list in the year 2014
expected_working_week_end = [
Date(2014, 1, 26),
Date(2014, 2, 8),
Date(2014, 5, 4),
Date(2014, 9, 28),
Date(2014, 10, 11),
# China Inter Bank working weekend list in the year 2015
Date(2015, 1, 4),
Date(2015, 2, 15),
Date(2015, 2, 28),
Date(2015, 9, 6),
Date(2015, 10, 10),
# China Inter Bank working weekend list in the year 2016
Date(2016, 2, 6),
Date(2016, 2, 14),
Date(2016, 6, 12),
Date(2016, 9, 18),
Date(2016, 10, 8),
Date(2016, 10, 9),
# China Inter Bank working weekend list in the year 2017
Date(2017, 1, 22),
Date(2017, 2, 4),
Date(2017, 4, 1),
Date(2017, 5, 27),
Date(2017, 9, 30),
# China Inter Bank working weekend list in the year 2018
Date(2018, 2, 11),
Date(2018, 2, 24),
Date(2018, 4, 8),
Date(2018, 4, 28),
Date(2018, 9, 29),
Date(2018, 9, 30)
]
cal = Calendar('China.IB')
for day in expected_working_week_end:
self.assertEqual(
cal.is_holiday(day), False,
"{0} is not expected to be a holiday in {1}".format(
day, cal))
self.assertEqual(
cal.is_biz_day(day), True,
"{0} is expected to be a working day in {1} ".format(
day, cal))
def test_calendar_with_date_convention(self):
sse_cal = Calendar('China.SSE')
reference_date = Date(2015, 2, 14)
test_date = sse_cal.adjust_date(
reference_date, BizDayConventions.HalfMonthModifiedFollowing)
self.assertEqual(test_date, Date(2015, 2, 13))
reference_date = Date(2014, 2, 4)
test_date = sse_cal.adjust_date(
reference_date, BizDayConventions.ModifiedPreceding)
self.assertEqual(test_date, Date(2014, 2, 7))
reference_date = Date(2014, 2, 3)
test_date = sse_cal.adjust_date(reference_date,
BizDayConventions.Nearest)
self.assertEqual(test_date, Date(2014, 2, 7))
reference_date = Date(2014, 2, 2)
test_date = sse_cal.adjust_date(reference_date,
BizDayConventions.Nearest)
self.assertEqual(test_date, Date(2014, 1, 30))
with self.assertRaises(ValueError):
_ = sse_cal.adjust_date(reference_date, -1)
def test_schedule_initialize_yearly(self):
start_date = Date(2012, 2, 29)
end_date = Date(2013, 3, 1)
tenor = Period('1y')
cal = Calendar('NullCalendar')
sch = Schedule(start_date, end_date, tenor, cal)
expected = [Date(2012, 2, 29), Date(2013, 2, 28), Date(2013, 3, 1)]
for i in range(sch.size()):
self.assertEqual(expected[i], sch[i])
def test_schedule_deep_copy(self):
start_date = Date(2013, 3, 31)
end_date = Date(2013, 7, 1)
tenor = Period('1m')
cal = Calendar('NullCalendar')
sch = Schedule(start_date, end_date, tenor, cal)
copied_sch = copy.deepcopy(sch)
self.assertEqual(sch, copied_sch)
def test_calendar_pickle(self):
sse_cal = Calendar('China.SSE')
f = tempfile.NamedTemporaryFile('w+b', delete=False)
pickle.dump(sse_cal, f)
f.close()
with open(f.name, 'rb') as f2:
pickled_cal = pickle.load(f2)
self.assertEqual(sse_cal, pickled_cal)
os.unlink(f.name)
def test_schedule_initialize(self):
start_date = Date(2013, 3, 31)
end_date = Date(2013, 7, 1)
tenor = Period('1m')
cal = Calendar('NullCalendar')
sch = Schedule(start_date, end_date, tenor, cal)
expected = [
Date(2013, 4, 1),
Date(2013, 4, 30),
Date(2013, 5, 31),
Date(2013, 7, 1)
]
for i in range(sch.size()):
self.assertEqual(expected[i], sch[i])
def test_adjust_date(self):
# April 30, 2005 is a working day under IB, but a holiday under SSE
reference_date = Date(2005, Months.April, 30)
sse_cal = Calendar('China.SSE')
ib_cal = Calendar('China.IB')
biz_day_conv = BizDayConventions.Unadjusted
self.assertEqual(sse_cal.adjust_date(reference_date, biz_day_conv),
reference_date)
self.assertEqual(ib_cal.adjust_date(reference_date, biz_day_conv),
reference_date)
biz_day_conv = BizDayConventions.Following
self.assertEqual(sse_cal.adjust_date(reference_date, biz_day_conv),
Date(2005, Months.May, 9))
self.assertEqual(ib_cal.adjust_date(reference_date, biz_day_conv),
Date(2005, Months.April, 30))
biz_day_conv = BizDayConventions.ModifiedFollowing
self.assertEqual(sse_cal.adjust_date(reference_date, biz_day_conv),
Date(2005, Months.April, 29))
self.assertEqual(ib_cal.adjust_date(reference_date, biz_day_conv),
Date(2005, Months.April, 30))
def test_schedule_pickle(self):
start_date = Date(2013, 3, 31)
end_date = Date(2013, 7, 1)
tenor = Period('1m')
cal = Calendar('NullCalendar')
sch = Schedule(start_date, end_date, tenor, cal)
f = tempfile.NamedTemporaryFile('w+b', delete=False)
pickle.dump(sch, f)
f.close()
with open(f.name, 'rb') as f2:
pickled_sch = pickle.load(f2)
self.assertEqual(sch, pickled_sch)
os.unlink(f.name)
def test_china_sse(self):
# China Shanghai Securities Exchange holiday list in the year 2014
expected_hol = [
Date(2014, 1, 1),
Date(2014, 1, 31),
Date(2014, 2, 3),
Date(2014, 2, 4),
Date(2014, 2, 5),
Date(2014, 2, 6),
Date(2014, 4, 7),
Date(2014, 5, 1),
Date(2014, 5, 2),
Date(2014, 6, 2),
Date(2014, 9, 8),
Date(2014, 10, 1),
Date(2014, 10, 2),
Date(2014, 10, 3),
Date(2014, 10, 6),
Date(2014, 10, 7),
# China Shanghai Securities Exchange holiday list in the year 2015
Date(2015, 1, 1),
Date(2015, 1, 2),
Date(2015, 2, 18),
Date(2015, 2, 19),
Date(2015, 2, 20),
Date(2015, 2, 23),
Date(2015, 2, 24),
Date(2015, 4, 6),
Date(2015, 5, 1),
Date(2015, 6, 22),
Date(2015, 9, 3),
Date(2015, 9, 4),
Date(2015, 10, 1),
Date(2015, 10, 2),
Date(2015, 10, 5),
Date(2015, 10, 6),
Date(2015, 10, 7),
# China Shanghai Securities Exchange holiday list in the year 2016
Date(2016, 1, 1),
Date(2016, 2, 8),
Date(2016, 2, 9),
Date(2016, 2, 10),
Date(2016, 2, 11),
Date(2016, 2, 12),
Date(2016, 4, 4),
Date(2016, 5, 2),
Date(2016, 6, 9),
Date(2016, 6, 10),
Date(2016, 9, 15),
Date(2016, 9, 16),
Date(2016, 10, 3),
Date(2016, 10, 4),
Date(2016, 10, 5),
Date(2016, 10, 6),
Date(2016, 10, 7),
# China Shanghai Securities Exchange holiday list in the year 2017
Date(2017, 1, 1),
Date(2017, 1, 2),
Date(2017, 1, 27),
Date(2017, 1, 28),
Date(2017, 1, 29),
Date(2017, 1, 30),
Date(2017, 1, 31),
Date(2017, 2, 1),
Date(2017, 2, 2),
Date(2017, 4, 2),
Date(2017, 4, 3),
Date(2017, 4, 4),
Date(2017, 5, 1),
Date(2017, 5, 28),
Date(2017, 5, 29),
Date(2017, 5, 30),
Date(2017, 10, 1),
Date(2017, 10, 2),
Date(2017, 10, 3),
Date(2017, 10, 4),
Date(2017, 10, 5),
Date(2017, 10, 6),
Date(2017, 10, 7),
Date(2017, 10, 8),
# China Shanghai Securities Exchange holiday list in the year 2018
Date(2018, 1, 1),
Date(2018, 2, 15),
Date(2018, 2, 16),
Date(2018, 2, 17),
Date(2018, 2, 18),
Date(2018, 2, 19),
Date(2018, 2, 20),
Date(2018, 2, 21),
Date(2018, 4, 5),
Date(2018, 4, 6),
Date(2018, 4, 7),
Date(2018, 4, 29),
Date(2018, 4, 30),
Date(2018, 5, 1),
Date(2018, 6, 16),
Date(2018, 6, 17),
Date(2018, 6, 18),
Date(2018, 9, 22),
Date(2018, 9, 23),
Date(2018, 9, 24),
Date(2018, 10, 1),
Date(2018, 10, 2),
Date(2018, 10, 3),
Date(2018, 10, 4),
Date(2018, 10, 5),
Date(2018, 10, 6),
Date(2018, 10, 7)
]
cal = Calendar('China.SSE')
for day in expected_hol:
self.assertEqual(
cal.is_holiday(day), True,
"{0} is expected to be a holiday in {1}".format(day, cal))
self.assertEqual(
cal.is_biz_day(day), False,
"{0} is expected not to be a working day in {1} ".format(
day, cal))
def test_null_calendar(self):
cal = Calendar("Null")
test_date = Date(2015, 1, 1)
self.assertTrue(cal.is_biz_day(test_date))
self.assertTrue(not cal.is_holiday(test_date))
self.assertTrue(cal.is_weekend(Weekdays.Saturday))
self.assertTrue(cal.is_weekend(Weekdays.Sunday))
self.assertTrue(not cal.is_weekend(Weekdays.Friday))
self.assertEquals(
cal.holiday_dates_list(Date(2018, 10, 29), Date(2018, 11, 5),
True),
[Date(2018, 11, 3), Date(2018, 11, 4)])
def test_china_sse(self):
# China Shanghai Securities Exchange holiday list in the year 2014
expected_hol = [
Date(2014, 1, 1),
Date(2014, 1, 31),
Date(2014, 2, 3),
Date(2014, 2, 4),
Date(2014, 2, 5),
Date(2014, 2, 6),
Date(2014, 4, 7),
Date(2014, 5, 1),
Date(2014, 5, 2),
Date(2014, 6, 2),
Date(2014, 9, 8),
Date(2014, 10, 1),
Date(2014, 10, 2),
Date(2014, 10, 3),
Date(2014, 10, 6),
Date(2014, 10, 7),
# China Shanghai Securities Exchange holiday list in the year 2015
Date(2015, 1, 1),
Date(2015, 1, 2),
Date(2015, 2, 18),
Date(2015, 2, 19),
Date(2015, 2, 20),
Date(2015, 2, 23),
Date(2015, 2, 24),
Date(2015, 4, 6),
Date(2015, 5, 1),
Date(2015, 6, 22),
Date(2015, 9, 3),
Date(2015, 9, 4),
Date(2015, 10, 1),
Date(2015, 10, 2),
Date(2015, 10, 5),
Date(2015, 10, 6),
Date(2015, 10, 7),
# China Shanghai Securities Exchange holiday list in the year 2016
Date(2016, 1, 1),
Date(2016, 2, 8),
Date(2016, 2, 9),
Date(2016, 2, 10),
Date(2016, 2, 11),
Date(2016, 2, 12),
Date(2016, 4, 4),
Date(2016, 5, 2),
Date(2016, 6, 9),
Date(2016, 6, 10),
Date(2016, 9, 15),
Date(2016, 9, 16),
Date(2016, 10, 3),
Date(2016, 10, 4),
Date(2016, 10, 5),
Date(2016, 10, 6),
Date(2016, 10, 7),
# China Shanghai Securities Exchange holiday list in the year 2017
Date(2017, 1, 1),
Date(2017, 1, 2),
Date(2017, 1, 27),
Date(2017, 1, 28),
Date(2017, 1, 29),
Date(2017, 1, 30),
Date(2017, 1, 31),
Date(2017, 2, 1),
Date(2017, 2, 2),
Date(2017, 4, 2),
Date(2017, 4, 3),
Date(2017, 4, 4),
Date(2017, 5, 1),
Date(2017, 5, 28),
Date(2017, 5, 29),
Date(2017, 5, 30),
Date(2017, 10, 1),
Date(2017, 10, 2),
Date(2017, 10, 3),
Date(2017, 10, 4),
Date(2017, 10, 5),
Date(2017, 10, 6),
Date(2017, 10, 7),
Date(2017, 10, 8),
# China Shanghai Securities Exchange holiday list in the year 2018
Date(2018, 1, 1),
Date(2018, 2, 15),
Date(2018, 2, 16),
Date(2018, 2, 17),
Date(2018, 2, 18),
Date(2018, 2, 19),
Date(2018, 2, 20),
Date(2018, 2, 21),
Date(2018, 4, 5),
Date(2018, 4, 6),
Date(2018, 4, 7),
Date(2018, 4, 29),
Date(2018, 4, 30),
Date(2018, 5, 1),
Date(2018, 6, 16),
Date(2018, 6, 17),
Date(2018, 6, 18),
Date(2018, 9, 22),
Date(2018, 9, 23),
Date(2018, 9, 24),
Date(2018, 10, 1),
Date(2018, 10, 2),
Date(2018, 10, 3),
Date(2018, 10, 4),
Date(2018, 10, 5),
Date(2018, 10, 6),
Date(2018, 10, 7)
]
cal = Calendar('China.SSE')
for day in expected_hol:
self.assertEqual(
cal.is_holiday(day), True,
"{0} is expected to be a holiday in {1}".format(day, cal))
self.assertEqual(
cal.is_biz_day(day), False,
"{0} is expected not to be a working day in {1} ".format(
day, cal))
def testChinaIB(self):
# China Inter Bank working weekend list in the year 2014
expected_working_week_end = [
Date(2014, 1, 26),
Date(2014, 2, 8),
Date(2014, 5, 4),
Date(2014, 9, 28),
Date(2014, 10, 11),
# China Inter Bank working weekend list in the year 2015
Date(2015, 1, 4),
Date(2015, 2, 15),
Date(2015, 2, 28),
Date(2015, 9, 6),
Date(2015, 10, 10),
# China Inter Bank working weekend list in the year 2016
Date(2016, 2, 6),
Date(2016, 2, 14),
Date(2016, 6, 12),
Date(2016, 9, 18),
Date(2016, 10, 8),
Date(2016, 10, 9),
# China Inter Bank working weekend list in the year 2017
Date(2017, 1, 22),
Date(2017, 2, 4),
Date(2017, 4, 1),
Date(2017, 5, 27),
Date(2017, 9, 30),
# China Inter Bank working weekend list in the year 2018
Date(2018, 2, 11),
Date(2018, 2, 24),
Date(2018, 4, 8),
Date(2018, 4, 28),
Date(2018, 9, 29),
Date(2018, 9, 30)
]
cal = Calendar('China.IB')
for day in expected_working_week_end:
self.assertEqual(
cal.is_holiday(day), False,
"{0} is not expected to be a holiday in {1}".format(
day, cal))
self.assertEqual(
cal.is_biz_day(day), True,
"{0} is expected to be a working day in {1} ".format(
day, cal))
def test_adjust_date(self):
# April 30, 2005 is a working day under IB, but a holiday under SSE
reference_date = Date(2005, Months.April, 30)
sse_cal = Calendar('China.SSE')
ib_cal = Calendar('China.IB')
biz_day_conv = BizDayConventions.Unadjusted
self.assertEqual(sse_cal.adjust_date(reference_date, biz_day_conv),
reference_date)
self.assertEqual(ib_cal.adjust_date(reference_date, biz_day_conv),
reference_date)
biz_day_conv = BizDayConventions.Following
self.assertEqual(sse_cal.adjust_date(reference_date, biz_day_conv),
Date(2005, Months.May, 9))
self.assertEqual(ib_cal.adjust_date(reference_date, biz_day_conv),
Date(2005, Months.April, 30))
biz_day_conv = BizDayConventions.ModifiedFollowing
self.assertEqual(sse_cal.adjust_date(reference_date, biz_day_conv),
Date(2005, Months.April, 29))
self.assertEqual(ib_cal.adjust_date(reference_date, biz_day_conv),
Date(2005, Months.April, 30))
def test_advance_date(self):
reference_date = Date(2014, 1, 31)
sse_cal = Calendar('China.SSE')
ib_cal = Calendar('China.IB')
biz_day_conv = BizDayConventions.Following
# test null period
self.assertEqual(
sse_cal.advance_date(reference_date, Period('0b'),
biz_day_conv), Date(2014, 2, 7))
# test negative period
self.assertEqual(
sse_cal.advance_date(reference_date, Period('-5b'),
biz_day_conv), Date(2014, 1, 24))
# The difference is caused by Feb 8 is SSE holiday but a working day for IB market
self.assertEqual(
sse_cal.advance_date(reference_date, Period('2b'),
biz_day_conv), Date(2014, 2, 10))
self.assertEqual(
sse_cal.advance_date(reference_date, Period('2d'),
biz_day_conv), Date(2014, 2, 7))
self.assertEqual(
ib_cal.advance_date(reference_date, Period('2b'),
biz_day_conv), Date(2014, 2, 8))
self.assertEqual(
ib_cal.advance_date(reference_date, Period('2d'),
biz_day_conv), Date(2014, 2, 7))
biz_day_conv = BizDayConventions.ModifiedFollowing
# May 31, 2014 is a holiday
self.assertEqual(
sse_cal.advance_date(reference_date, Period('4m'),
biz_day_conv, True), Date(2014, 5, 30))
def test_date_list(self):
from_date = Date(2014, 1, 31)
to_date = Date(2014, 2, 28)
sse_cal = Calendar('China.SSE')
ib_cal = Calendar('China.IB')
benchmark_hol = [
Date(2014, 1, 31),
Date(2014, 2, 3),
Date(2014, 2, 4),
Date(2014, 2, 5),
Date(2014, 2, 6)
]
sse_hol_list = sse_cal.holiday_dates_list(from_date, to_date,
False)
self.assertEqual(sse_hol_list, benchmark_hol)
ib_hol_list = ib_cal.holiday_dates_list(from_date, to_date, False)
self.assertEqual(ib_hol_list, benchmark_hol)
sse_hol_list = sse_cal.holiday_dates_list(from_date, to_date, True)
benchmark_hol = [
Date(2014, 1, 31),
Date(2014, 2, 1),
Date(2014, 2, 2),
Date(2014, 2, 3),
Date(2014, 2, 4),
Date(2014, 2, 5),
Date(2014, 2, 6),
Date(2014, 2, 8),
Date(2014, 2, 9),
Date(2014, 2, 15),
Date(2014, 2, 16),
Date(2014, 2, 22),
Date(2014, 2, 23)
]
self.assertEqual(sse_hol_list, benchmark_hol)
ib_hol_list = ib_cal.holiday_dates_list(from_date, to_date, True)
benchmark_hol = [
Date(2014, 1, 31),
Date(2014, 2, 1),
Date(2014, 2, 2),
Date(2014, 2, 3),
Date(2014, 2, 4),
Date(2014, 2, 5),
Date(2014, 2, 6),
Date(2014, 2, 9),
Date(2014, 2, 15),
Date(2014, 2, 16),
Date(2014, 2, 22),
Date(2014, 2, 23)
]
self.assertEqual(ib_hol_list, benchmark_hol)
sse_working_day_list = sse_cal.biz_dates_list(from_date, to_date)
d = from_date
while d <= to_date:
if sse_cal.is_biz_day(d):
self.assertTrue(d in sse_working_day_list
and d not in sse_hol_list)
d += 1
ib_working_day_list = ib_cal.biz_dates_list(from_date, to_date)
d = from_date
while d <= to_date:
if ib_cal.is_biz_day(d):
self.assertTrue(d in ib_working_day_list
and d not in ib_hol_list)
d += 1
def test_calendar_with_date_convention(self):
sse_cal = Calendar('China.SSE')
reference_date = Date(2015, 2, 14)
test_date = sse_cal.adjust_date(
reference_date, BizDayConventions.HalfMonthModifiedFollowing)
self.assertEqual(test_date, Date(2015, 2, 13))
reference_date = Date(2014, 2, 4)
test_date = sse_cal.adjust_date(
reference_date, BizDayConventions.ModifiedPreceding)
self.assertEqual(test_date, Date(2014, 2, 7))
reference_date = Date(2014, 2, 3)
test_date = sse_cal.adjust_date(reference_date,
BizDayConventions.Nearest)
self.assertEqual(test_date, Date(2014, 2, 7))
reference_date = Date(2014, 2, 2)
test_date = sse_cal.adjust_date(reference_date,
BizDayConventions.Nearest)
self.assertEqual(test_date, Date(2014, 1, 30))
with self.assertRaises(ValueError):
_ = sse_cal.adjust_date(reference_date, -1)
def test_calendar_deep_copy(self):
sse_cal = Calendar('China.SSE')
copied_cal = copy.deepcopy(sse_cal)
self.assertEqual(sse_cal, copied_cal)
def test_calendar_pickle(self):
sse_cal = Calendar('China.SSE')
f = tempfile.NamedTemporaryFile('w+b', delete=False)
pickle.dump(sse_cal, f)
f.close()
with open(f.name, 'rb') as f2:
pickled_cal = pickle.load(f2)
self.assertEqual(sse_cal, pickled_cal)
os.unlink(f.name)
def test_date_list(self):
from_date = Date(2014, 1, 31)
to_date = Date(2014, 2, 28)
sse_cal = Calendar('China.SSE')
ib_cal = Calendar('China.IB')
benchmark_hol = [
Date(2014, 1, 31),
Date(2014, 2, 3),
Date(2014, 2, 4),
Date(2014, 2, 5),
Date(2014, 2, 6)
]
sse_hol_list = sse_cal.holiday_dates_list(from_date, to_date,
False)
self.assertEqual(sse_hol_list, benchmark_hol)
ib_hol_list = ib_cal.holiday_dates_list(from_date, to_date, False)
self.assertEqual(ib_hol_list, benchmark_hol)
sse_hol_list = sse_cal.holiday_dates_list(from_date, to_date, True)
benchmark_hol = [
Date(2014, 1, 31),
Date(2014, 2, 1),
Date(2014, 2, 2),
Date(2014, 2, 3),
Date(2014, 2, 4),
Date(2014, 2, 5),
Date(2014, 2, 6),
Date(2014, 2, 8),
Date(2014, 2, 9),
Date(2014, 2, 15),
Date(2014, 2, 16),
Date(2014, 2, 22),
Date(2014, 2, 23)
]
self.assertEqual(sse_hol_list, benchmark_hol)
ib_hol_list = ib_cal.holiday_dates_list(from_date, to_date, True)
benchmark_hol = [
Date(2014, 1, 31),
Date(2014, 2, 1),
Date(2014, 2, 2),
Date(2014, 2, 3),
Date(2014, 2, 4),
Date(2014, 2, 5),
Date(2014, 2, 6),
Date(2014, 2, 9),
Date(2014, 2, 15),
Date(2014, 2, 16),
Date(2014, 2, 22),
Date(2014, 2, 23)
]
self.assertEqual(ib_hol_list, benchmark_hol)
sse_working_day_list = sse_cal.biz_dates_list(from_date, to_date)
d = from_date
while d <= to_date:
if sse_cal.is_biz_day(d):
self.assertTrue(d in sse_working_day_list
and d not in sse_hol_list)
d += 1
ib_working_day_list = ib_cal.biz_dates_list(from_date, to_date)
d = from_date
while d <= to_date:
if ib_cal.is_biz_day(d):
self.assertTrue(d in ib_working_day_list
and d not in ib_hol_list)
d += 1
def test_advance_date(self):
reference_date = Date(2014, 1, 31)
sse_cal = Calendar('China.SSE')
ib_cal = Calendar('China.IB')
biz_day_conv = BizDayConventions.Following
# test null period
self.assertEqual(
sse_cal.advance_date(reference_date, Period('0b'),
biz_day_conv), Date(2014, 2, 7))
# test negative period
self.assertEqual(
sse_cal.advance_date(reference_date, Period('-5b'),
biz_day_conv), Date(2014, 1, 24))
# The difference is caused by Feb 8 is SSE holiday but a working day for IB market
self.assertEqual(
sse_cal.advance_date(reference_date, Period('2b'),
biz_day_conv), Date(2014, 2, 10))
self.assertEqual(
sse_cal.advance_date(reference_date, Period('2d'),
biz_day_conv), Date(2014, 2, 7))
self.assertEqual(
ib_cal.advance_date(reference_date, Period('2b'),
biz_day_conv), Date(2014, 2, 8))
self.assertEqual(
ib_cal.advance_date(reference_date, Period('2d'),
biz_day_conv), Date(2014, 2, 7))
biz_day_conv = BizDayConventions.ModifiedFollowing
# May 31, 2014 is a holiday
self.assertEqual(
sse_cal.advance_date(reference_date, Period('4m'),
biz_day_conv, True), Date(2014, 5, 30))
def test_basic_functions(self):
test_date = Date(2015, 7, 11)
cal = Calendar('China.SSE')
self.assertTrue(cal.is_weekend(test_date.weekday()),
"{0} is expected to be a weekend".format(test_date))
test_date = Date(2015, 7, 13)
self.assertTrue(
not cal.is_weekend(test_date.weekday()),
"{0} is expected not to be a weekend".format(test_date))
test_date = Date(2015, 5, 29)
cal = Calendar('China.SSE')
self.assertTrue(
cal.is_end_of_month(test_date),
"{0} is expected to be a end of month".format(test_date))
test_date = Date(2015, 5, 1)
cal = Calendar('China.SSE')
end_of_month = cal.end_of_month(test_date)
self.assertEqual(
end_of_month, Date(2015, 5, 29),
"The month end of 2015/5 is expected to be {0}".format(
Date(2015, 5, 29)))
biz_dates1 = cal.biz_days_between(Date(2015, 1, 1), Date(2015, 12, 31),
True, False)
biz_dates2 = cal.biz_days_between(Date(2015, 12, 31), Date(2015, 1, 1),
False, True)
self.assertEqual(biz_dates1, biz_dates2)
def test_calendar_deep_copy(self):
sse_cal = Calendar('China.SSE')
copied_cal = copy.deepcopy(sse_cal)
self.assertEqual(sse_cal, copied_cal)
def test_wrong_input_holiday_center(self):
with self.assertRaises(ValueError):
_ = Calendar('NulCalendar')