Struct quantmath::dates::calendar::WeekdayAndHolidayCalendar

pub struct WeekdayAndHolidayCalendar { /* fields omitted */ }

A calendar that assumes that Saturday and Sunday are not business days, together with a specified list of business holidays. In general this list is read from a file.

Methods

impl WeekdayAndHolidayCalendar

pub fn new(name: &str, holidays: &[Date]) -> WeekdayAndHolidayCalendar

pub fn from_serial<'de>(de: &mut Deserializer<'de>) -> Result<RcCalendar, Error>

Trait Implementations

impl Debug for WeekdayAndHolidayCalendar

fn fmt(&self, f: &mut Formatter) -> Result

Formats the value using the given formatter.

impl TypeId for WeekdayAndHolidayCalendar

fn type_id(&self) -> &'static str

impl Calendar for WeekdayAndHolidayCalendar

fn name(&self) -> &str

The name of this calendar. Conventionally, the name is a three-letter upper-case string such as "TGT" or "NYS", though this is not required.

fn is_holiday(&self, date: Date) -> bool

TODO: is_holiday is an expensive call for WeekendAndHolidayCalendar. We still need to implement it for external users, but we should avoid calling it internally.

fn count_business_days(     &self,     from: Date,     from_fraction: f64,     to: Date,     to_fraction: f64 ) -> f64

Count business days between the two given dates. The dates at the ends of the range may optionally be partly included in the count, by setting a fraction between zero and one.

fn step(&self, from: Date, step: i32, slip_forward: bool) -> Date

Step forward/backward by the given number of business days. The result is always a business day. If today is a business day, a zero step means staying where we are. If today is not a business day, we slip off to the nearest business day in the direction specified by the slip_forward flag. If the step is non-zero, the overall move is equivalent to a zero step followed by the given number of one-step moves.

fn standard_basis(&self) -> f64

Returns the basis normally used for business day volatility. Roughly speaking this is the expected number of business days in a year, but conventionalised. It is 365 for EveryDayCalendar and 252 for a pure business day calendar.

fn day_weight(&self, date: Date) -> f64

If the given date is a holiday, what weight should it receive? Returns 1.0 for a business day, 0.0 for a pure holiday with no weight, and potentially a number somewhere between for anything else.

fn step_partial(&self, from: Date, step: f64, slip_forward: bool) -> Date

Specialised function where day-counts may be fractional, for example in volatility surfaces. For most calendars, the step is truncated towards zero and an integer number of steps is taken.

fn year_fraction(&self, from: DateDayFraction, to: DateDayFraction) -> f64

Calculate the year-fraction between two date-times, given the count of business days and the standard basis.