HolidayCalendar for CATO has Easter Monday as holiday. I need banking only

vst · December 8, 2016, 5:16pm

I did a quick test for “current date” 04/14/17.

I got the results with the question marks because St. Patrick Day is present in the CATO holiday calendar? How do I get the HolidayCalendar to act only on the banking holidays?

LocalDate: 04/14/17
OtherDate: 04/18/17
isHoliday: true
isBusinessDay: false
nextDay: 04/18/17
nextOrSameDay: 04/18/17
PrevDay: 04/13/17
PrevOrSameDay: 04/13/17
isLastBusDayOfMonth: false
lastBusDayOfMonth: 04/28/17
numberOfBusDays: 0 ?!?
shifted 3: 04/20/17
adjustBy 3: 04/20/17
isStPatrickDay a Holiday: true ?!?

code

final HolidayCalendar CATO = HolidayCalendars.of("CATO");
	
	
	LocalDate localDate = LocalDate.of(2017, 4, 14);
	LocalDate otherDate = LocalDate.of(2017, 4, 18);
	// is the date a holiday/weekend or a business day
	boolean holiday = CATO.isHoliday(localDate);
	boolean busday  = CATO.isBusinessDay(localDate);
	    
	// next/previous business day
	LocalDate nextDay = CATO.next(localDate);
	LocalDate nextOrSameDay = CATO.nextOrSame(localDate);
	LocalDate prevDay = CATO.previous(localDate);
	LocalDate prevOrSameDay = CATO.previousOrSame(localDate);
	
	    
	// last business day of month
	boolean isLastBusDay   = CATO.isLastBusinessDayOfMonth(localDate);
	LocalDate lastBusDay = CATO.lastBusinessDayOfMonth(localDate);
	    
	// number of business days
	int days = CATO.daysBetween(localDate, otherDate);
	
	LocalDate shifted3 = CATO.shift(localDate, 3);
	
	LocalDate businessShifted3 = localDate.with(CATO.adjustBy(3));
	
	LocalDate stPatrickDay = LocalDate.of(2017, 4, 17);
	
	System.out.format("\nLocalDate: %tD%n"
			+ "OtherDate: %tD%n" 
			+ "isHoliday: %b%n"
			+ "isBusinessDay: %b%n"
			+ "nextDay: %tD%n"
			+ "nextOrSameDay: %tD%n"
			+ "PrevDay: %tD%n"
			+ "PrevOrSameDay: %tD%n"
			+ "isLastBusDayOfMonth: %b%n"
			+ "lastBusDayOfMonth: %tD%n"
			+ "numberOfBusDays: %d%n"
			+ "shifted 3: %tD%n"
			+ "adjustBy 3: %tD%n"
			+ "isHoliday: %b%n",
			localDate, otherDate, holiday, busday, nextDay, nextOrSameDay, prevDay, prevOrSameDay, isLastBusDay, lastBusDay, days, shifted3, businessShifted3, CATO.isHoliday(stPatrickDay));

Thanks

stephen · December 8, 2016, 7:17pm

The CATO holiday data is intended to match the fixings of the CDOR and CORRA indices. If it is wrong, then it should be fixed. However, in this case, 2017-04-17 is Easter Monday, which I believe is a valid holiday. You can see the code here:

github.com

OpenGamma/Strata/blob/master/modules/basics/src/main/java/com/opengamma/strata/basics/date/GlobalHolidayCalendars.java#L646


  holidays.add(date(1968, 12, 25));  // Paperwork crisis
  holidays.add(date(1968, 12, 31));  // Paperwork crisis
  holidays.add(date(1969, 2, 10));  // Snow
  holidays.add(date(1969, 3, 31));  // Death of Dwight Eisenhower
  holidays.add(date(1969, 7, 21));  // Lunar exploration
  holidays.add(date(1972, 12, 28));  // Death of Harry Truman
  holidays.add(date(1973, 1, 25));  // Death of Lyndon Johnson
  holidays.add(date(1977, 7, 14));  // Blackout
  holidays.add(date(1985, 9, 27));  // Hurricane Gloria
  holidays.add(date(1994, 4, 27));  // Death of Richard Nixon
  holidays.add(date(2001, 9, 11));  // 9/11 attack
  holidays.add(date(2001, 9, 12));  // 9/11 attack
  holidays.add(date(2001, 9, 13));  // 9/11 attack
  holidays.add(date(2001, 9, 14));  // 9/11 attack
  holidays.add(date(2004, 6, 11));  // Death of Ronald Reagan
  holidays.add(date(2007, 1, 2));  // Death of Gerald Ford
  holidays.add(date(2012, 10, 30));  // Hurricane Sandy
  removeSatSun(holidays);
  return ImmutableHolidayCalendar.of(HolidayCalendarIds.NYSE, holidays, SATURDAY, SUNDAY);
}

If you need to replace the data, you can use HolidayCalendarData.ini.

vst · December 8, 2016, 7:51pm

This is the reference we follow
2016 http://iiac.ca/wp-content/uploads/IIAC-Debt-Market-Holiday-Schedule-for-2016.pdf
2017 http://iiac.ca/wp-content/uploads/IIAC-Market-Closure-Schedule-for-2017.pdf

Markets are open on Easter Monday.
What I’m trying to do is to correctly set the settlement date based on T … T+3 rules. I can’t settle correctly if I consider Easter Monday a holiday. In Toronto…

I changed the subject to point to Easter Monday instead of St Patrick day (I did test that one too)

Really appreciate your feedback!

stephen · December 9, 2016, 10:45am

As per this document, CDOR is published

The Benchmark will be published at 10:15 am ET each Business Day, subject to any delay as set forth in section 2.4 below. A Business Day means any day on which Schedule 1 banks under the Bank Act (Canada) are open for business in Toronto, Ontario, Canada

Looking at some bank websites, it seems that Easter Monday is not a holiday. Unfortunately, the CDOR fixings do not seem to be public, so they can’t be checked.

If you like, you could submit a pull request to remove the two Easter Monday lines from GlobalHolidayCalendar and fix the associated test.

In the meantime, you have two options - create a new holiday calendar, or edit the Strata source code and build a local release.

To create your own holiday calendar, create a file named HolidayCalendarData.ini in the classpath location com/opengamma/strata/config/application. It should have the contents:

[MyCATO]
2016-01-01
2016-12-25
Weekend = Sat,Sun

with whatever holiday dates you want. See the existing (empty) HolidayCalendarData.ini file for more details of the format.

https://github.com/OpenGamma/Strata/blob/master/modules/basics/src/main/resources/com/opengamma/strata/config/base/HolidayCalendarData.ini

Note that you have to use a different name - MyCATO, not CATO. This is another bug, caused by unexpected behaviour in Google’s Guava library. I’ll be fixing that bug.

vst · December 9, 2016, 2:41pm

Thanks again Stephen.

The document you linked is a Thomson Reuters document - one of their products?!?

All Canadian info should come from a (National) trusted source, say

I will speak to my BAs and get the source of our business holidays to post it here.
That data we store in a table and currently load into our apps using objectlab toolkit.

I thought I could use the Starta HolidayCalendar as is but I’ll follow your suggestion and eventually generate a HolidayCalendarData.ini file from the DB to be loaded.

Is there a property that I can set to point to the location of the file? com.opengamma.strata.config.directories?

stephen · December 15, 2016, 3:56pm

Easter Monday removed in this PR

https://github.com/OpenGamma/Strata/pull/1440

The Strata holiday data is intended for evaluation purposes rather than production. As part of our commercial work will will be providing integration with well-known holiday calendar sources.

As I mentioned above, a file has to be added to the classpath to change the holiday calendars. The simplest form I described above. Alternative approaches can refer to a Java class that loads the data from an arbitrary location if that is desired. See ExtendedEnum and NamedLookup.

vst · December 23, 2016, 2:22pm

I ended up creating a new Holiday calendar (named after our company) and a “Early close” calendar as well (since I were at it ) together with their associated HolidayCalendarId’s

HolidayCalendar MY_HOLIDAYS_CAL = generateMine();
HolidayCalendarId MY_HOLIDAYS = HolidayCalendarId.of("MY_HOLIDAYS");

How to link the two so that I’ll be able to use it and be able to resolve the calendar from the ID to create a BusinessDayAdjustment like below?

BusinessDayAdjustment.of(BusinessDayConventions.FOLLOWING, MY_CALENDAR);

If I call the above i get an exception saying it cannot resolve the calendar from the ID.
Truth is, I didn’t looked to deep into the sources being busy with a release.

Appreciate you help!

stephen · January 3, 2017, 9:27am

Calendars are a type of extended enum, see the documentation to read details of how they work and how to register your class using a new config file.

You would thus need to add a file named com/opengamma/strata/config/application/HolidayCalendar.ini. The content will be similar to this:

[providers]
com.something.YourHolidayCalendars = constants

vst · January 3, 2017, 3:44pm

Got it, Thanks!

Works like a charm!

vst · November 7, 2018, 3:35pm

Just pulled 2.1.1-snapshot from Github,
My calendar is no longer found…

Reference data not found for identifier 'CANADA_HOLIDAYS' of type 'HolidayCalendarId'

The ini file is still in the newly built jar @ com/opengamma/strata/config/application/HolidayCalendar.ini and has

[providers]
com.candeal.calendar.CandaHolidaysCalendar = constants

in it…
What changed?
Thanks

stephen · November 7, 2018, 3:53pm

As per the v2.0 release notes, the file now needs to be in
META-INF/com/opengamma/strata/config/application/
(because of Java 9)

vst · November 7, 2018, 4:24pm

Thanks Stephen!
I put it in that location as well

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HolidayCalendar for CATO has Easter Monday as holiday. I need banking only

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