QuantLib_UnitedStates man page

UnitedStates — United States calendars.  

Synopsis

#include <ql/time/calendars/unitedstates.hpp>

Inherits Calendar.

Public Types

enum Market { Settlement, NYSE, GovernmentBond, NERC, LiborImpact } US calendars. "

Public Member Functions

UnitedStates (Market market=Settlement)

Additional Inherited Members

Detailed Description

United States calendars.

Public holidays (see: http://www.opm.gov/fedhol/):

Note that since 2015 Independence Day only impacts Libor if it falls on a weekday (see https://www.theice.com/iba/libor, https://www.theice.com/marketdata/reports/170 and https://www.theice.com/publicdocs/LIBOR_Holiday_Calendar_2015.pdf for the fixing and value date calendars).

Holidays for the stock exchange (data from http://www.nyse.com):

Holidays for the government bond market (data from http://www.bondmarkets.com):

Holidays for the North American Energy Reliability Council (data from http://www.nerc.com/~oc/offpeaks.html):

Tests

the correctness of the returned results is tested against a list of known holidays.

Examples: Bonds.cpp, and CallableBonds.cpp.

Member Enumeration Documentation

enum Market

US calendars.

Enumerator

Settlement

generic settlement calendar

NYSE

New York stock exchange calendar.

GovernmentBond

government-bond calendar

NERC

off-peak days for NERC

LiborImpact

Libor impact calendar.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages GovernmentBond(3), LiborImpact(3), NERC(3), NYSE(3) and UnitedStates(3) are aliases of QuantLib_UnitedStates(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib