libitofin 0.5.0

A ground-up Rust port of QuantLib: quantitative-finance primitives for pricing, risk, and numerical methods.
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

//! Canadian calendars.
//!
//! Port of `ql/time/calendars/canada.{hpp,cpp}`.

use crate::shared::shared;
use crate::time::calendar::{Calendar, CalendarImpl, is_weekend_sat_sun, western_easter_monday};
use crate::time::date::{Date, Month};
use crate::time::weekday::Weekday;

/// Canadian markets.
///
/// QuantLib defaults this to [`Market::Settlement`].
#[derive(Clone, Copy, Debug, PartialEq, Eq)]
pub enum Market {
    /// Generic settlement calendar.
    Settlement,
    /// Toronto stock exchange calendar.
    Tsx,
}

/// Canadian calendar.
pub struct Canada;

impl Canada {
    /// Builds a Canadian calendar for the given market.
    pub fn new(market: Market) -> Calendar {
        let imp: crate::shared::Shared<dyn CalendarImpl> = match market {
            Market::Settlement => shared(SettlementImpl),
            Market::Tsx => shared(TsxImpl),
        };
        Calendar::from_impl(imp)
    }
}

struct SettlementImpl;
struct TsxImpl;

impl CalendarImpl for SettlementImpl {
    fn name(&self) -> String {
        "Canada".to_string()
    }

    fn is_weekend(&self, w: Weekday) -> bool {
        is_weekend_sat_sun(w)
    }

    fn is_business_day(&self, date: Date) -> bool {
        let w = date.weekday();
        let d = date.day_of_month();
        let dd = date.day_of_year();
        let m = date.month();
        let y = date.year();
        let em = western_easter_monday(y);

        !(is_weekend_sat_sun(w)
            // New Year's Day (possibly moved to Monday)
            || ((d == 1 || ((d == 2 || d == 3) && w == Weekday::Monday)) && m == Month::January)
            // Family Day (third Monday in February, since 2008)
            || ((d >= 15 && d <= 21) && w == Weekday::Monday && m == Month::February && y >= 2008)
            // Good Friday
            || (dd == em - 3)
            // The Monday on or preceding 24 May (Victoria Day)
            || (d > 17 && d <= 24 && w == Weekday::Monday && m == Month::May)
            // July 1st, possibly moved to Monday (Canada Day)
            || ((d == 1 || ((d == 2 || d == 3) && w == Weekday::Monday)) && m == Month::July)
            // first Monday of August (Provincial Holiday)
            || (d <= 7 && w == Weekday::Monday && m == Month::August)
            // first Monday of September (Labor Day)
            || (d <= 7 && w == 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 && w == Weekday::Monday))
                && y >= 2021)
            // second Monday of October (Thanksgiving Day)
            || (d > 7 && d <= 14 && w == Weekday::Monday && m == Month::October)
            // November 11th (possibly moved to Monday)
            || ((d == 11 || ((d == 12 || d == 13) && w == Weekday::Monday)) && m == Month::November)
            // Christmas (possibly moved to Monday or Tuesday)
            || ((d == 25 || (d == 27 && (w == Weekday::Monday || w == Weekday::Tuesday)))
                && m == Month::December)
            // Boxing Day (possibly moved to Monday or Tuesday)
            || ((d == 26 || (d == 28 && (w == Weekday::Monday || w == Weekday::Tuesday)))
                && m == Month::December))
    }
}

impl CalendarImpl for TsxImpl {
    fn name(&self) -> String {
        "TSX".to_string()
    }

    fn is_weekend(&self, w: Weekday) -> bool {
        is_weekend_sat_sun(w)
    }

    fn is_business_day(&self, date: Date) -> bool {
        let w = date.weekday();
        let d = date.day_of_month();
        let dd = date.day_of_year();
        let m = date.month();
        let y = date.year();
        let em = western_easter_monday(y);

        !(is_weekend_sat_sun(w)
            // New Year's Day (possibly moved to Monday)
            || ((d == 1 || ((d == 2 || d == 3) && w == Weekday::Monday)) && m == Month::January)
            // Family Day (third Monday in February, since 2008)
            || ((d >= 15 && d <= 21) && w == Weekday::Monday && m == Month::February && y >= 2008)
            // Good Friday
            || (dd == em - 3)
            // The Monday on or preceding 24 May (Victoria Day)
            || (d > 17 && d <= 24 && w == Weekday::Monday && m == Month::May)
            // July 1st, possibly moved to Monday (Canada Day)
            || ((d == 1 || ((d == 2 || d == 3) && w == Weekday::Monday)) && m == Month::July)
            // first Monday of August (Provincial Holiday)
            || (d <= 7 && w == Weekday::Monday && m == Month::August)
            // first Monday of September (Labor Day)
            || (d <= 7 && w == Weekday::Monday && m == Month::September)
            // second Monday of October (Thanksgiving Day)
            || (d > 7 && d <= 14 && w == Weekday::Monday && m == Month::October)
            // Christmas (possibly moved to Monday or Tuesday)
            || ((d == 25 || (d == 27 && (w == Weekday::Monday || w == Weekday::Tuesday)))
                && m == Month::December)
            // Boxing Day (possibly moved to Monday or Tuesday)
            || ((d == 26 || (d == 28 && (w == Weekday::Monday || w == Weekday::Tuesday)))
                && m == Month::December))
    }
}

#[cfg(test)]
mod tests {
    use super::*;

    // Spot-checks, not a full transcription of test-suite/calendars.cpp.
    #[test]
    fn names_match_quantlib() {
        assert_eq!(Canada::new(Market::Settlement).name(), "Canada");
        assert_eq!(Canada::new(Market::Tsx).name(), "TSX");
    }

    #[test]
    fn weekend_rule() {
        let c = Canada::new(Market::Settlement);
        assert!(c.is_weekend(Weekday::Saturday));
        assert!(c.is_weekend(Weekday::Sunday));
    }
}