Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Jump to bottom

Add rules for substitute holidays to South Korea calendar #1707

Merged
merged 9 commits into from
Jun 20, 2023
Merged

Add rules for substitute holidays to South Korea calendar #1707

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
9 commits
Select commit Hold shift + click to select a range
edba144
apply substitute holiday
nistick21 Jun 20, 2023
5f5e0fe
Merge branch 'master' of https://github.com/nistick21/QuantLib
nistick21 Jun 20, 2023
6a39e19
apply substitute holiday to southkorea calendar
nistick21 Jun 20, 2023
c26490f
add copyright
nistick21 Jun 20, 2023
b22d7c9
apply comments
nistick21 Jun 20, 2023
cecfba0
remove some codes
nistick21 Jun 20, 2023
a801eb0
set year limit to 2053
nistick21 Jun 20, 2023
fe5043b
make space
nistick21 Jun 20, 2023
7c1e014
Associate substitute rules with original ones
lballabio Jun 20, 2023
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
115 changes: 95 additions & 20 deletions ql/time/calendars/southkorea.cpp
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -7,6 +7,7 @@
Copyright (C) 2015 Riccardo Barone
Copyright (C) 2015 Paolo Mazzocchi
Copyright (C) 2023 Skandinaviska Enskilda Banken AB (publ)
Copyright (C) 2023 Jonghee Lee

This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
Expand Down Expand Up @@ -60,24 +61,27 @@ namespace QuantLib {
|| (d == 1 && m == January)
// Independence Day
|| (d == 1 && m == March)
|| (w == Monday && (d == 2 || d == 3) && m == March && y > 2021)
// Arbour Day
|| (d == 5 && m == April && y <= 2005)
// Labour Day
|| (d == 1 && m == May)
// Children's Day
|| (d == 5 && m == May)
|| (d == 7 && m == May && y == 2018)
|| (d == 6 && m == May && y == 2019)
|| (w == Monday && (d == 6 || d == 7) && m == May && y > 2013)
// Memorial Day
|| (d == 6 && m == June)
// Constitution Day
|| (d == 17 && m == July && y <= 2007)
// Liberation Day
|| (d == 15 && m == August)
|| (w == Monday && (d == 16 || d == 17) && m == August && y > 2020)
// National Foundation Day
|| (d == 3 && m == October)
|| (w == Monday && (d == 4 || d == 5) && m == October && y > 2020)
// Christmas Day
|| (d == 25 && m == December)
|| (w == Monday && (d == 26 || d == 27) && m == December && y > 2022)

// Lunar New Year
|| ((d == 21 || d == 22 || d == 23) && m == January && y == 2004)
Expand All @@ -100,16 +104,39 @@ namespace QuantLib {
|| ((d == 11 || d == 12 || d == 13) && m == February && y == 2021)
|| (((d == 31 && m == January) || ((d == 1 || d == 2)
&& m == February)) && y == 2022)
|| ((d == 21 || d == 22 || d == 23) && m == January && y == 2023)
|| ((d == 9 || d == 10 || d == 11) && m == February && y == 2024)
|| ((d == 28 || d == 29 || d == 30) && m == January && y == 2025)
|| ((d == 16 || d == 17 || d == 18) && m == February && y == 2026)
|| ((d == 5 || d == 6 || d == 7) && m == February && y == 2027)
|| ((d == 25 || d == 26 || d == 27) && m == January && y == 2028)
|| ((d == 12 || d == 13 || d == 14) && m == February && y == 2029)
|| ((d == 2 || d == 3 || d == 4) && m == February && y == 2030)
|| ((d == 22 || d == 23 || d == 24) && m == January && y == 2031)
|| ((d == 10 || d == 11 || d == 12) && m == February && y == 2032)
|| ((d == 23 || d == 24) && m == January && y == 2023)
|| ((d >= 9 && d <= 12) && m == February && y == 2024)
|| ((d == 28 || d == 29 || d == 30) && m == January && y == 2025)
|| ((d == 16 || d == 17 || d == 18) && m == February && y == 2026)
|| ((d == 8 || d == 9) && m == February && y == 2027)
|| ((d == 26 || d == 27 || d == 28) && m == January && y == 2028)
|| ((d == 12 || d == 13 || d == 14) && m == February && y == 2029)
|| ((d == 4 || d == 5) && m == February && y == 2030)
|| ((d == 22 || d == 23 || d == 24) && m == January && y == 2031)
|| ((d == 10 || d == 11 || d == 12) && m == February && y == 2032)
|| (((d == 31 && m == January) || ((d == 1|| d == 2)
&& m == February)) && y == 2033)
|| ((d == 20 || d == 21) && m == February && y == 2034)
|| ((d == 7 || d == 8 || d == 9) && m == February && y == 2035)
|| ((d == 28 || d == 29 || d == 30) && m == January && y == 2036)
|| ((d == 16 || d == 17) && m == February && y == 2037)
|| ((d == 3 || d == 4 || d == 5) && m == February && y == 2038)
|| ((d == 24 || d == 25 || d == 26) && m == January && y == 2039)
|| ((d == 13 || d == 14) && m == February && y == 2040)
|| (((d == 31 && m == January) || ((d == 1|| d == 2)
&& m == February)) && y == 2041)
|| ((d == 21 || d == 22 || d == 23) && m == January && y == 2042)
|| ((d == 9 || d == 10 || d == 11) && m == February && y == 2043)
|| ((((d == 29|| d == 30|| d == 31) && m == January)
|| (d == 1 && m == February)) && y == 2044)
|| ((d == 16 || d == 17 || d == 18) && m == February && y == 2045)
|| ((d == 5 || d == 6 || d == 7) && m == February && y == 2046)
|| ((d >= 25 && d <= 28) && m == January && y == 2047)
|| ((d == 13 || d == 14 || d == 15) && m == February && y == 2048)
|| ((d == 1 || d == 2 || d == 3) && m == February && y == 2049)
|| ((d == 24 || d == 25) && m == January && y == 2050)
|| ((d == 24 || d == 25) && m == January && y == 2051)
|| ((d == 24 || d == 25) && m == January && y == 2052)

// Election Days
|| (d == 15 && m == April && y == 2004) // National Assembly
Expand Down Expand Up @@ -147,16 +174,37 @@ namespace QuantLib {
|| (d == 30 && m == April && y == 2020)
|| (d == 19 && m == May && y == 2021)
|| (d == 8 && m == May && y == 2022)
|| (d == 26 && m == May && y == 2023)
|| (d == 29 && m == May && y == 2023) // Substitute holiday
|| (d == 15 && m == May && y == 2024)
|| (d == 5 && m == May && y == 2025)
|| (d == 24 && m == May && y == 2026)
|| (d == 25 && m == May && y == 2026) // Substitute holiday
|| (d == 13 && m == May && y == 2027)
|| (d == 2 && m == May && y == 2028)
|| (d == 20 && m == May && y == 2029)
|| (d == 21 && m == May && y == 2029) // Substitute holiday
|| (d == 9 && m == May && y == 2030)
|| (d == 28 && m == May && y == 2031)
|| (d == 16 && m == May && y == 2032)
|| (d == 17 && m == May && y == 2032) // Substitute holiday
|| (d == 6 && m == May && y == 2033)
|| (d == 25 && m == May && y == 2034)
|| (d == 15 && m == May && y == 2035)
|| (d == 5 && m == May && y == 2036) // Substitute holiday
|| (d == 22 && m == May && y == 2037)
|| (d == 11 && m == May && y == 2038)
|| (d == 2 && m == May && y == 2039) // Substitute holiday
|| (d == 18 && m == May && y == 2040)
|| (d == 7 && m == May && y == 2041)
|| (d == 26 && m == May && y == 2042)
|| (d == 18 && m == May && y == 2043) // Substitute holiday
|| (d == 5 && m == May && y == 2044)
|| (d == 24 && m == May && y == 2045)
|| (d == 14 && m == May && y == 2046) // Substitute holiday
|| (d == 2 && m == May && y == 2047)
|| (d == 20 && m == May && y == 2048)
|| (d == 10 && m == May && y == 2049) // Substitute holiday
|| (d == 30 && m == May && y == 2050) // Substitute holiday
|| (d == 30 && m == May && y == 2051) // Substitute holiday
|| (d == 30 && m == May && y == 2052) // Substitute holiday
|| (d == 30 && m == May && y == 2053) // Substitute holiday

// Special holiday: 70 years from Independence Day
|| (d == 14 && m == August && y == 2015)
Expand Down Expand Up @@ -184,19 +232,46 @@ namespace QuantLib {
&& m == October)) && y == 2020)
|| ((d == 20 || d == 21 || d == 22) && m == September && y == 2021)
|| ((d == 9 || d == 10 || d == 11) && m == September && y == 2022)
|| ((d >= 9 && d <= 12) && m == September && y == 2022)
|| ((d == 28 || d == 29 || d == 30) && m == September && y == 2023)
|| ((d == 16 || d == 17 || d == 18) && m == September && y == 2024)
|| ((d == 5 || d == 6 || d == 7) && m == October && y == 2025)
|| ((d == 6 || d == 7 || d == 8) && m == October && y == 2025)
|| ((d == 24 || d == 25 || d == 26) && m == September && y == 2026)
|| ((d == 14 || d == 15 || d == 16) && m == September && y == 2027)
|| ((d == 2 || d == 3 || d == 4) && m == October && y == 2028)
|| ((d == 21 || d == 22 || d == 23) && m == September && y == 2029)
|| ((d >= 2 && d <= 5) && m == October && y == 2028)
|| ((d >= 21 && d <= 24) && m == September && y == 2029)
|| ((d == 11 || d == 12 || d == 13) && m == September && y == 2030)
|| (((d == 30 && m == September) || ((d == 1 || d == 2)
&& m == October)) && y == 2031)
|| ((d == 18 || d == 19 || d == 20) && m == September && y == 2032)
|| ((d == 20 || d == 21) && m == September && y == 2032)
|| ((d == 7 || d == 8 || d == 9) && m == September && y == 2033)
|| ((d == 26 || d == 27 || d == 28) && m == September && y == 2034)
|| ((d == 17 || d == 18) && m == September && y == 2035)
|| ((d >= 3 && d <= 6) && m == October && y == 2036)
|| ((d == 23 || d == 24 || d == 25) && m == September && y == 2037)
|| ((d == 13 || d == 14 || d == 15) && m == September && y == 2038)
|| ((d == 3 || d == 4 || d == 5) && m == October && y == 2039)
|| ((d == 20 || d == 21 || d == 22) && m == September && y == 2040)
|| ((d == 9 || d == 10 || d == 11) && m == September && y == 2041)
|| ((d == 29 || d == 30) && m == September && y == 2042)
|| ((d == 16 || d == 17 || d == 18) && m == September && y == 2043)
|| ((d == 4 || d == 5 || d == 6) && m == October && y == 2044)
|| ((d == 25 || d == 26 || d == 27) && m == September && y == 2045)
|| ((d >= 14 && d <= 17) && m == September && y == 2046)
|| ((d == 3 || d == 4 || d == 5) && m == October && y == 2047)
|| ((d == 21 || d == 22 || d == 23) && m == September && y == 2048)
|| ((d >= 10 && d <= 13) && m == September && y == 2049)
|| ((((d == 29|| d == 30) && m == September)
|| (d == 1 && m == October)) && y == 2050)
|| ((((d == 29|| d == 30) && m == September)
|| (d == 1 && m == October)) && y == 2051)
|| ((((d == 29|| d == 30) && m == September)
|| (d == 1 && m == October)) && y == 2052)
|| ((d == 24 || d == 25) && m == January && y == 2053)

// Hangul Proclamation of Korea
|| (d == 9 && m == October && y >= 2013)
|| (w == Monday && (d == 10 || d == 11) && m == October && y > 2020)
)
return false; // NOLINT(readability-simplify-boolean-expr)

Expand Down
5 changes: 3 additions & 2 deletions ql/time/calendars/southkorea.hpp
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -50,7 +50,7 @@ namespace QuantLib {
</ul>

Other holidays for which no rule is given
(data available for 2004-2032 only:)
(data available for 2004-2053 only:)
<ul>
<li>Lunar New Year, the last day of the previous lunar year</li>
<li>Election Days</li>
Expand All @@ -64,7 +64,8 @@ namespace QuantLib {
Holidays for the Korea exchange
(data from
<http://eng.krx.co.kr/> or
<http://www.dooriworld.com/daishin/holiday/holiday.html>):
<http://www.dooriworld.com/daishin/holiday/holiday.html>
<https://www.law.go.kr/%EB%B2%95%EB%A0%B9/%EA%B4%80%EA%B3%B5%EC%84%9C%EC%9D%98%20%EA%B3%B5%ED%9C%B4%EC%9D%BC%EC%97%90%20%EA%B4%80%ED%95%9C%20%EA%B7%9C%EC%A0%95>):
<ul>
<li>Public holidays as listed above</li>
<li>Year-end closing</li>
Expand Down