Module rateslib::calendars

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Create business day calendars and perform financial date manipulation.

§Basic usage

The Cal struct allows the construction of a single business day calendar, e.g. a particular currency calendar. The below constructs two separate calendars, one for some London holidays and one for some Tokyo holidays in 2017.

// UK Monday 1st May Bank Holiday
let ldn = Cal::new(vec![ndt(2017, 5, 1)], vec![5, 6]);
// Japan Constitution Memorial Day, Greenery Day, Children's Day
let tky = Cal::new(vec![ndt(2017, 5, 3), ndt(2017, 5, 4), ndt(2017, 5, 5)], vec![5, 6]);

These calendars are used to manipulate dates e.g.

let date = ndt(2017, 4, 28);  // Friday 28th April 2017
let spot = ldn.add_bus_days(&date, 2, true).unwrap();
// Wednesday 3rd May 2017, observing the holiday.
assert_eq!(spot, ndt(2017, 5, 3));

§Combination usage

For use with multi-currency products calendars often need to be combined.

let ldn_tky = UnionCal::new(vec![ldn, tky], None);
let spot = ldn_tky.add_bus_days(&date, 2, true).unwrap();
// Monday 8th May 2017, observing all holidays.
assert_eq!(spot, ndt(2017, 5, 8));

Particularly when adjusting for FX transaction calendars the non-USD calendars may be used for date determination but the US calendar is used to validate eligible settlement. This is also a union of calendars but it is enforced via the settlement_calendars field.

let tgt = Cal::new(vec![], vec![5, 6]);
let nyc = Cal::new(vec![ndt(2023, 6, 19)], vec![5, 6]);  // Juneteenth Holiday
let tgt__nyc = UnionCal::new(vec![tgt], vec![nyc].into());

The spot (T+2) date as measured from Friday 16th June 2023 ignores the US calendar for date determination and allows Tuesday 20th June 2023 since the US holiday is on the Monday.

let date = ndt(2023, 6, 16);  // Friday 16th June 2023
let spot = tgt__nyc.add_bus_days(&date, 2, true).unwrap();
// Tuesday 20th June 2023, ignoring the US holiday on Monday.
assert_eq!(spot, ndt(2023, 6, 20));

On the other hand as measured from Thursday 15th June 2023 the spot cannot be on the Monday when settlement is enforced over the US calendar.

let date = ndt(2023, 6, 15);  // Thursday 15th June 2023
let spot = tgt__nyc.add_bus_days(&date, 2, true).unwrap();
// Tuesday 20th June 2023, enforcing no settlement on US holiday.
assert_eq!(spot, ndt(2023, 6, 20));

If settlement is not enforced spot can be set as the Monday for this calendar, since it is not a European holiday.

let spot = tgt__nyc.add_bus_days(&date, 2, false).unwrap();
// Monday 19th June 2023, ignoring the US holiday settlement requirement.
assert_eq!(spot, ndt(2023, 6, 19));

Re-exports§

Modules§

  • named
    Static data for pre-existing named holiday calendars.

Structs§

  • Cal
    A business day calendar with a singular list of holidays.
  • NamedCal
    A wrapper for a UnionCal struct specified by a string representation.
  • UnionCal
    A business day calendar which is the potential union of multiple calendars, with the additional constraint of also ensuring settlement compliance with one or more other calendars.

Enums§

Traits§

  • DateRoll
    Used to control business day management and date rolling.

Functions§

  • get_imm
    Return an IMM date (third Wednesday) for given month and year.
  • get_roll
    Return a specific roll date given the month, year and roll.
  • ndt
    Create a NaiveDateTime with default null time.