RustQuant_time 0.4.0

A Rust library for quantitative finance.
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150

// ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
// RustQuant: A Rust library for quantitative finance tools.
// Copyright (C) 2022-2024 https://github.com/avhz
// Dual licensed under Apache 2.0 and MIT.
// See:
//      - LICENSE-APACHE.md
//      - LICENSE-MIT.md
// ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

// ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
// IMPORTS
// ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

use crate::calendar::Calendar;
use crate::utilities::unpack_date;
use time::{Date, Month, Weekday};
use RustQuant_iso::*;

// ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
// STRUCTS, ENUMS, TRAITS
// ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

/// Canada national holiday calendar.
pub struct CanadaCalendar;

// ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
// IMPLEMENTATIONS, METHODS
// ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

impl Calendar for CanadaCalendar {
    fn new() -> Self {
        Self
    }

    fn name(&self) -> &'static str {
        "Canada"
    }

    fn country_code(&self) -> ISO_3166 {
        CANADA
    }

    fn market_identifier_code(&self) -> ISO_10383 {
        XCNQ
    }

    fn is_holiday(&self, date: Date) -> bool {
        let (y, m, d, wd, yd, em) = unpack_date(date, false);

        if (
            // New Year's Day (possibly moved to Monday)
            ((d == 1 || ((d == 2 || d == 3) && wd == Weekday::Monday)) && m == Month::January)

            // Family Day (third Monday in February, since 2008)
            || ((15..=21).contains(&d) && wd == Weekday::Monday && m == Month::February && y >= 2008)

            // Good Friday
            || (yd == em-3)

            // The Monday on or preceding 24 May (Victoria Day)
            || (d > 17 && d <= 24 && wd == Weekday::Monday && m == Month::May)

            // July 1st, possibly moved to Monday (Canada Day)
            || ((d == 1 || ((d == 2 || d == 3) && wd == Weekday::Monday)) && m==Month::July)

            // first Monday of August (Provincial Holiday)
            || (d <= 7 && wd == Weekday::Monday && m == Month::August)

            // first Monday of September (Labor Day)
            || (d <= 7 && wd == Weekday::Monday && m == Month::September)

            // September 30th, possibly moved to Monday
            // (National Day for Truth and Reconciliation, since 2021)
            || (((d == 30 && m == Month::September) || (d <= 2 && m == Month::October && wd == Weekday::Monday)) && y >= 2021)

            // second Monday of October (Thanksgiving Day)
            || (d > 7 && d <= 14 && wd == Weekday::Monday && m == Month::October)

            // November 11th (possibly moved to Monday)
            || ((d == 11 || ((d == 12 || d == 13) && wd == Weekday::Monday)) && m == Month::November)

            // Christmas (possibly moved to Monday or Tuesday)
            || ((d == 25 || (d == 27 && (wd == Weekday::Monday || wd == Weekday::Tuesday))) && m == Month::December)

            // Boxing Day (possibly moved to Monday or Tuesday)
            || ((d == 26 || (d == 28 && (wd == Weekday::Monday || wd == Weekday::Tuesday))) && m == Month::December)
        ) {
            return true;
        }

        false
    }
}

// ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
// UNIT TESTS
// ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

#[cfg(test)]
mod test_canada {
    use super::*;
    use time::macros::date;

    // Test to verify the name() method.
    #[test]
    fn test_name() {
        let calendar = CanadaCalendar;
        assert_eq!(calendar.name(), "Canada");
    }

    // Test to verify if weekends are not considered business days.
    #[test]
    fn test_is_weekend() {
        let calendar = CanadaCalendar;
        let sat = date!(2023 - 08 - 26);
        let sun = date!(2023 - 08 - 27);
        assert!(!calendar.is_business_day(sat));
        assert!(!calendar.is_business_day(sun));
    }

    // Test to verify if the is_business_day() method properly accounts for public holidays.
    #[test]
    fn test_is_public_holiday() {
        let calendar = CanadaCalendar;
        let new_years_day = date!(2023 - 01 - 01);
        let family_day = date!(2023 - 02 - 20); // 3rd Monday of February
        let canada_day = date!(2023 - 07 - 01);
        let thanksgiving = date!(2023 - 10 - 09); // 2nd Monday in October
        let christmas = date!(2023 - 12 - 25);

        assert!(!calendar.is_business_day(new_years_day));
        assert!(!calendar.is_business_day(family_day));
        assert!(!calendar.is_business_day(canada_day));
        assert!(!calendar.is_business_day(thanksgiving));
        assert!(!calendar.is_business_day(christmas));
    }

    // Test to verify if the is_business_day() method properly accounts for regular business days.
    #[test]
    fn test_is_regular_business_day() {
        let calendar = CanadaCalendar;
        let regular_day1 = date!(2023 - 03 - 01);
        let regular_day2 = date!(2023 - 07 - 12);
        let regular_day3 = date!(2023 - 11 - 17);

        assert!(calendar.is_business_day(regular_day1));
        assert!(calendar.is_business_day(regular_day2));
        assert!(calendar.is_business_day(regular_day3));
    }
}