fasti 0.2.0

Dates, calendars, business-day conventions and day-count fractions for financial code. Native Rust, no_std, float-free; designed after QuantLib's ql/time.
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
151
152
153
154
155
156
157
158
159
160
161
162

//! SOFR fixing calendar — `QuantLib`'s `UnitedStates::SOFR`.

use crate::{
    Calendar, Date, EasterOffset, FixedDate, LastWeekday, Month, NthWeekday, OneOff, Ordinal, Rule,
    Weekday, Weekend, WeekendShift, Year, YearRange,
};

/// The SOFR fixing calendar — port of `QuantLib`'s
/// `UnitedStates::SOFR` market variant.
///
/// Same holiday set as [`GOVERNMENT_BOND`](super::GOVERNMENT_BOND)
/// *except* Good Friday is always observed (no post-1996 NFP exception —
/// SOFR has never fixed on Good Friday).
///
/// | Holiday | Rule |
/// |---|---|
/// | New Year's Day | Jan 1 + SunForward |
/// | Martin Luther King Jr. Day | 3rd Mon of January *[since 1983]* |
/// | Washington's Birthday (pre-1971) | Feb 22 + SatBack/SunForward *[through 1970]* |
/// | Washington's Birthday | 3rd Mon of February *[since 1971]* |
/// | Good Friday | Easter Sunday − 2 *(always, no NFP exception)* |
/// | Memorial Day (pre-1971) | May 30 + SatBack/SunForward *[through 1970]* |
/// | Memorial Day | Last Mon of May *[since 1971]* |
/// | Juneteenth | Jun 19 + SatBack/SunForward *[since 2022]* |
/// | Independence Day | Jul 4 + SatBack/SunForward |
/// | Labor Day | 1st Mon of September |
/// | Columbus Day | 2nd Mon of October *[since 1971]* |
/// | Veterans Day (pre-1971) | Nov 11 + SunForward *[through 1970]* |
/// | Veterans Day (Uniform Monday) | 4th Mon of October *[1971–1977]* |
/// | Veterans Day | Nov 11 + SunForward *[from 1978]* |
/// | Thanksgiving | 4th Thu of November |
/// | Christmas | Dec 25 + SatBack/SunForward |
/// | Special closings | Custom: 2018-12-5, 2012-10-30, 2004-06-11 |
pub const SOFR: Calendar<'static> = Calendar {
    name: "SOFR fixing calendar",
    weekend: Weekend::SAT_SUN,
    rules: &[
        // New Year's Day — SunForward.
        Rule::Fixed(FixedDate::new(Month::Jan, 1).shift(WeekendShift::SunForward)),
        // MLK — since 1983.
        Rule::NthWeekday(
            NthWeekday::new(Ordinal::Third, Weekday::Mon, Month::Jan)
                .from_year(Year::literal(1983)),
        ),
        // Washington's Birthday (pre-1971).
        Rule::Fixed(
            FixedDate::new(Month::Feb, 22)
                .shift(WeekendShift::SatBackSunForward)
                .years(YearRange::literal_through(1970)),
        ),
        // Washington's Birthday (1971+).
        Rule::NthWeekday(
            NthWeekday::new(Ordinal::Third, Weekday::Mon, Month::Feb)
                .from_year(Year::literal(1971)),
        ),
        // Good Friday — ALWAYS observed under SOFR.
        Rule::Easter(EasterOffset::good_friday()),
        // Memorial Day (pre-1971).
        Rule::Fixed(
            FixedDate::new(Month::May, 30)
                .shift(WeekendShift::SatBackSunForward)
                .years(YearRange::literal_through(1970)),
        ),
        // Memorial Day (1971+).
        Rule::LastWeekday(
            LastWeekday::new(Weekday::Mon, Month::May).from_year(Year::literal(1971)),
        ),
        // Juneteenth (2022+).
        Rule::Fixed(
            FixedDate::new(Month::Jun, 19)
                .shift(WeekendShift::SatBackSunForward)
                .from_year(Year::literal(2022)),
        ),
        // Independence Day.
        Rule::Fixed(FixedDate::new(Month::Jul, 4).shift(WeekendShift::SatBackSunForward)),
        // Labor Day.
        Rule::NthWeekday(NthWeekday::new(Ordinal::First, Weekday::Mon, Month::Sep)),
        // Columbus Day (1971+).
        Rule::NthWeekday(
            NthWeekday::new(Ordinal::Second, Weekday::Mon, Month::Oct)
                .from_year(Year::literal(1971)),
        ),
        // Veterans Day (pre-1971): SunForward.
        Rule::Fixed(
            FixedDate::new(Month::Nov, 11)
                .shift(WeekendShift::SunForward)
                .years(YearRange::literal_through(1970)),
        ),
        // Veterans Day (1971-1977): 4th Monday October.
        Rule::NthWeekday(
            NthWeekday::new(Ordinal::Fourth, Weekday::Mon, Month::Oct)
                .years(YearRange::literal_between(1971, 1977)),
        ),
        // Veterans Day (1978+): SunForward.
        Rule::Fixed(
            FixedDate::new(Month::Nov, 11)
                .shift(WeekendShift::SunForward)
                .from_year(Year::literal(1978)),
        ),
        // Thanksgiving.
        Rule::NthWeekday(NthWeekday::new(Ordinal::Fourth, Weekday::Thu, Month::Nov)),
        // Christmas.
        Rule::Fixed(FixedDate::new(Month::Dec, 25).shift(WeekendShift::SatBackSunForward)),
        // Special historic closings — same set as Government Bond.
        Rule::OneOff(OneOff::new(Date::literal(2004, Month::Jun, 11))), // Reagan funeral
        Rule::OneOff(OneOff::new(Date::literal(2012, Month::Oct, 30))), // Hurricane Sandy day 2
        Rule::OneOff(OneOff::new(Date::literal(2018, Month::Dec, 5))),  // Bush funeral
    ],
};

#[cfg(test)]
#[allow(clippy::unwrap_used, clippy::expect_used)]
mod tests {
    use super::*;

    fn ymd(y: u16, m: Month, d: u8) -> Date {
        Date::from_ymd(y, m, d).unwrap()
    }

    /// 2024 SOFR holidays — 12 total, same as Government Bond.
    #[test]
    fn sofr_holidays_2024() {
        assert!(SOFR.is_holiday(ymd(2024, Month::Jan, 1)));
        assert!(SOFR.is_holiday(ymd(2024, Month::Jan, 15)));
        assert!(SOFR.is_holiday(ymd(2024, Month::Feb, 19)));
        assert!(SOFR.is_holiday(ymd(2024, Month::Mar, 29)));
        assert!(SOFR.is_holiday(ymd(2024, Month::May, 27)));
        assert!(SOFR.is_holiday(ymd(2024, Month::Jun, 19)));
        assert!(SOFR.is_holiday(ymd(2024, Month::Jul, 4)));
        assert!(SOFR.is_holiday(ymd(2024, Month::Sep, 2)));
        assert!(SOFR.is_holiday(ymd(2024, Month::Oct, 14)));
        assert!(SOFR.is_holiday(ymd(2024, Month::Nov, 11)));
        assert!(SOFR.is_holiday(ymd(2024, Month::Nov, 28)));
        assert!(SOFR.is_holiday(ymd(2024, Month::Dec, 25)));
    }

    /// SOFR observes Good Friday even in the NFP-colliding first week
    /// of April, unlike Government Bond.
    #[test]
    fn sofr_good_friday_always_observed() {
        // 2026 Good Friday = April 3 (day ≤ 7, post-1996). SOFR observes.
        assert!(SOFR.is_holiday(ymd(2026, Month::Apr, 3)));
        // 2021 Good Friday = April 2 (day ≤ 7). SOFR observes.
        assert!(SOFR.is_holiday(ymd(2021, Month::Apr, 2)));
        // 2015 Good Friday = April 3 (day ≤ 7). SOFR observes.
        assert!(SOFR.is_holiday(ymd(2015, Month::Apr, 3)));
    }

    /// SOFR shares Government Bond's special closings and shift behavior.
    #[test]
    fn sofr_matches_govbond_on_non_good_friday_behavior() {
        // Special closings.
        assert!(SOFR.is_holiday(ymd(2018, Month::Dec, 5)));
        assert!(SOFR.is_holiday(ymd(2012, Month::Oct, 30)));
        assert!(SOFR.is_holiday(ymd(2004, Month::Jun, 11)));
        // Veterans Day SunForward only.
        assert!(!SOFR.is_holiday(ymd(1995, Month::Nov, 10))); // Sat natural, no shift back
        assert!(SOFR.is_holiday(ymd(1990, Month::Nov, 12))); // Sun natural → Mon
        // New Year's SunForward only.
        assert!(!SOFR.is_holiday(ymd(2021, Month::Dec, 31))); // Sat Jan 1 2022 — no rollback
    }
}