Class TradingCalendar

Class Documentation

class TradingCalendar

Utility class for determining trading days, holidays, and related calendar computations.

Public Functions

TradingCalendar()

Default constructor.

inline void set_holidays(const std::vector<boost::gregorian::date> &holidays)

Sets the holiday calendar and sorts it.

Parameters:

holidays – List of dates to set as holidays.

Public Static Functions

static inline bool next_to_non_trade_day(const boost::gregorian::date &day)

Checks if a given day is adjacent to a non-trading day.

Parameters:

day – The date to check.

Returns:

True if the previous or next day is a non-trade day.

static inline bool non_trade_day(const boost::gregorian::date &day)

Checks whether a given day is a non-trade day (weekend or holiday).

Parameters:

day – The date to check.

Returns:

True if the date is a non-trade day.

static inline bool trade_day(const boost::gregorian::date &day)

Checks if a given day is a valid trade day.

Parameters:

day – The date to check.

Returns:

True if the date is not a weekend or holiday.

static inline bool half_trade_day(const boost::gregorian::date &day)

Checks if a date is a half trading day.

Parameters:

day – The date to check.

Returns:

True if the date is a half trading day.

static inline bool holiday(const boost::gregorian::date &day)

Checks whether a date is a recognized holiday.

Parameters:

day – The date to check.

Returns:

True if the date is a holiday.

static inline bool weekend(const boost::gregorian::date &day)

Checks if a date is a weekend (Saturday or Sunday).

Parameters:

day – The date to check.

Returns:

True if it’s Saturday or Sunday.

static inline int non_trade_days(const boost::gregorian::date &start, const boost::gregorian::date &end)

Computes the number of non-trading days between two dates.

Parameters:

  • start – Start date (inclusive).

  • end – End date (exclusive).

Returns:

The number of non-trading days.

static int trade_days(const boost::gregorian::date &first_day, const boost::gregorian::date &last_day)

Computes the number of trading days between two dates.

Parameters:

  • first_day – Start date (inclusive).

  • last_day – End date (exclusive).

Returns:

Number of trading days.

static inline int calendar_days(const boost::gregorian::date &start, const boost::gregorian::date &end)

Computes the total number of calendar days between two dates.

Parameters:

  • start – Start date (inclusive).

  • end – End date (exclusive).

Returns:

Total number of calendar days.

static std::vector<boost::gregorian::date> trade_dates(const boost::gregorian::date &start, const boost::gregorian::date &end)

Retrieves a list of all trade dates between two dates.

Parameters:

  • start – Start date (inclusive).

  • end – End date (exclusive).

Returns:

Vector of trade dates.

static boost::gregorian::date previous_trade_date(const boost::gregorian::date &d)

Gets the last trading day before a given date.

Parameters:

d – The reference date.

Returns:

The previous trading day.

static boost::posix_time::ptime previous_trade_day_cutoff(const boost::gregorian::date &d)

Gets the market cutoff time on the previous trading day before the given date.

Parameters:

d – The reference date.

Returns:

Time of market close on the previous trade day.

static boost::posix_time::ptime effective_dividend_time_for_early_exercise(const boost::gregorian::date &d)

Returns the effective dividend time relevant for early exercise logic.

Parameters:

d – The reference date.

Returns:

The timestamp representing the dividend time.

static int pre_holidays(const boost::gregorian::date &start, const boost::gregorian::date &end)

Counts the number of days immediately before holidays in a range.

Parameters:

  • start – Start date (inclusive).

  • end – End date (exclusive).

Returns:

Number of pre-holiday days.

static int post_holidays(const boost::gregorian::date &start, const boost::gregorian::date &end)

Counts the number of days immediately after holidays in a range.

Parameters:

  • start – Start date (inclusive).

  • end – End date (exclusive).

Returns:

Number of post-holiday days.

static int day_of_week_days(const boost::gregorian::date &start, const boost::gregorian::date &end, int day_of_week)

Counts the number of specific weekday occurrences between two dates.

Parameters:

  • start – Start date (inclusive).

  • end – End date (exclusive).

  • day_of_week – 0 = Sunday, …, 6 = Saturday.

Returns:

Number of days matching the specified weekday.

static inline std::vector<boost::gregorian::date> get_holidays()

Returns the list of holiday dates.

Returns:

Vector of holiday dates.

static inline int trade_days_to_calendar_days(const boost::gregorian::date &day, int trade_offset)

Converts a trade day offset into calendar day offset.

Parameters:

  • day – Starting date.

  • trade_offset – Number of trade days to move.

Returns:

Number of calendar days between start and resulting trade day.

static boost::gregorian::date trade_day_offset(const boost::gregorian::date &day, int trade_offset)

Returns the trade day that is a given number of trade days from the specified day.

Parameters:

  • day – The reference date.

  • trade_offset – The number of trade days to offset.

Returns:

The resulting trade date.