busday.h File Reference

#include "cgeneral.h"
#include "cdate.h"
#include "buscache.h"

Defines

#define JPMCDS_BAD_DAY_FOLLOW   ((long)'F')
#define JPMCDS_BAD_DAY_PREVIOUS   ((long)'P')
#define JPMCDS_BAD_DAY_NONE   ((long)'N')
#define JPMCDS_BAD_DAY_MODIFIED   ((long)'M')
#define JPMCDS_NUM_BAD_DAY_CONVS   4
#define JPMCDS_IS_WEEKEND(date, weekends)   ((1 << ((date) % 7)) & (weekends))
 Determines whether a day is at a weekend as given by the weekends flag.
#define JPMCDS_IS_WEEKDAY(date, weekends)   (!(JPMCDS_IS_WEEKEND((date),(weekends))))

Functions

int JpmcdsDateFromBusDaysOffset (TDate fromDate, long offset, char *holidayFile, TDate *result)
 Calculates a business date being at offset business days from the original date.
int JpmcdsBusinessDay (TDate date, long method, char *holidayFile, b TDate *outDate)
int JpmcdsBadDayConvValid (char *routine, long badDayConv)
 Validates a bad day convention.
int JpmcdsIsBusinessDay (TDate date, char *name, TBoolean *isBusinessDay)
 Indicates whether a date is a business day.
int JpmcdsDateToBusinessEOM (TDate inDate, char *name, TDate *outDate)
 Computes the last business day of the month.
EXPORT int JpmcdsHolidayLoadFromDisk (char *name, char *filename)
 Loads a holiday cache entry from a disk file, removing old one if it exists.
int JpmcdsHolidayListIsBusinessDay (TDate date, THolidayList *hl, TBoolean *isBusinessDay)
 Indicates whether a date is a business day.
int JpmcdsHolidayListIsHoliday (TDate date, THolidayList *hl, TBoolean *isHoliday)
int JpmcdsHolidayListBusinessDay (TDate date, long badDayConv, THolidayList *hl, TDate *outDate)
 Converts date to a valid business date using the holiday list and bad day convention passed in.
int JpmcdsMultiHolidayListBusinessDay (TDate date, long badDayConv, int numHolidayLists, THolidayList *holidayLists[], TDate *outDate)
int JpmcdsHolidayListBusinessDaysDiff (TDate fromDate, TDate toDate, THolidayList *hl, long *result)
 Calculates the number of business days between two dates (FROM & TO).
int JpmcdsHolidayListAddBusinessDays (TDate fromDate, long numBusDays, THolidayList *hl, TDate *resultDate)
 Adds a number of business days to the original date.
int JpmcdsHolidayListDateToBusinessEOM (TDate inDate, THolidayList *hl, TDate *outDate)
 Computes the last business day of the month.

Detailed Description

Define Documentation

#define JPMCDS_BAD_DAY_FOLLOW   ((long)'F')

Use following good day

#define JPMCDS_BAD_DAY_MODIFIED   ((long)'M')

Try following, then previous if a month boundary is crossed

#define JPMCDS_BAD_DAY_NONE   ((long)'N')

Dont check for bad days

#define JPMCDS_BAD_DAY_PREVIOUS   ((long)'P')

Use previous good day

#define JPMCDS_NUM_BAD_DAY_CONVS   4

# bad day conventions (house keeping, do not use)

Function Documentation

int JpmcdsBusinessDay ( TDate  date,
long  method,
char *  holidayFile,
b TDate *  outDate 
)

Using business day conventions (Following, Preceding, and Modified Following) calculates the next bisiness day if the input date is not a business day. Input and Output dates are represented as TDate types.

Parameters:
date (I) Input Date
method (I) See ldate.h
holidayFile (I) Filename w/ Holidays
outDate (O) output date

int JpmcdsDateFromBusDaysOffset ( TDate  fromDate,
long  offset,
char *  holidayFile,
TDate *  result 
)

Calculates a business date being at offset business days from the original date.

Parameters:
fromDate (I) input date
offset (I) number of business days
holidayFile (I) holiday file specification
result (O) resulting business date

int JpmcdsDateToBusinessEOM ( TDate  inDate,
char *  name,
TDate *  outDate 
)

Computes the last business day of the month.

Parameters:
inDate (I) Date to be tested
name (I) Name of holiday file
outDate (O) TRUE or FALSE returned

int JpmcdsHolidayListAddBusinessDays ( TDate  fromDate,
long  numBusDays,
THolidayList *  hl,
TDate *  resultDate 
)

Adds a number of business days to the original date.

Equivalent to JpmcdsDateFromBusDaysOffset, except using a THolidayList structure instead of a holiday file name. Should be used if efficiency is an issue.

Parameters:
fromDate (I) Input date
numBusDays (I) Number of business days
hl (I) Holiday list structure
resultDate (O) Resulting business date

int JpmcdsHolidayListBusinessDay ( TDate  date,
long  badDayConv,
THolidayList *  hl,
TDate *  outDate 
)

Converts date to a valid business date using the holiday list and bad day convention passed in.

Returns SUCCESS if convention OK, FAILURE otherwise.

Equivalent to JpmcdsBusinessDay except using a THolidayList structure instead of a holiday file. Should be used if efficiency is an issue.

Parameters:
date (I) Arbitrary date.
badDayConv (I) Bad day convention for adjusting non-business days. Use one of the following: JPMCDS_BAD_DAY_FOLLOW JPMCDS_BAD_DAY_PREVIOUS JPMCDS_BAD_DAY_MODIFIED JPMCDS_BAD_DAY_NONE
hl (I) Holiday file list.
outDate (O) Valid business day.

int JpmcdsHolidayListBusinessDaysDiff ( TDate  fromDate,
TDate  toDate,
THolidayList *  hl,
long *  result 
)

Calculates the number of business days between two dates (FROM & TO).

Algorithm:

1. if FROM = TO, the result is 0

2. if FROM < TO, the result is the number of business days in the CLOSED interval of [FROM+1,TO]

3. if FROM > TO, the result is negated number of business days in the CLOSED interval of [TO,FROM-1]

Equivalent to JpmcdsBusinessDaysDiff but uses a THolidayList structure instead of a holiday file name. Should be used if efficiency is an issue.

Parameters:
fromDate (I) Earlier date
toDate (I) Later date
hl (I) Holiday list structure
result (O) Result value

int JpmcdsHolidayListDateToBusinessEOM ( TDate  inDate,
THolidayList *  hl,
TDate *  outDate 
)

Computes the last business day of the month.

Parameters:
inDate (I) Date to be tested
hl (I) Name of holiday file
outDate (O) TRUE or FALSE returned

int JpmcdsHolidayListIsBusinessDay ( TDate  date,
THolidayList *  hl,
TBoolean *  isBusinessDay 
)

Indicates whether a date is a business day.

Equivalent to JpmcdsIsBusinessDay but uses THolidayList structure in place of holiday file name.

Parameters:
date (I) Input Date
hl (I) Holiday list structure
isBusinessDay (O) TRUE if a business day

int JpmcdsHolidayListIsHoliday ( TDate  date,
THolidayList *  hl,
TBoolean *  isHoliday 
)

Equivalent to JpmcdsIsHoliday, but uses a THolidayList structure instead of a holiday file name (and output type is TBoolean rather than long).

Does not take week-ends into account.

Parameters:
date (I) Arbitrary date
hl (I) Holiday list structure
isHoliday (O) 0 = not a holiday, 1 = is a holiday

EXPORT int JpmcdsHolidayLoadFromDisk ( char *  name,
char *  filename 
)

Loads a holiday cache entry from a disk file, removing old one if it exists.

Parameters:
name (I) name associated with holidays
filename (I) filename to load

int JpmcdsIsBusinessDay ( TDate  date,
char *  name,
TBoolean *  isBusinessDay 
)

Indicates whether a date is a business day.

Parameters:
date (I) Input Date
name (I) Filename w/ Holidays
isBusinessDay (O)

int JpmcdsMultiHolidayListBusinessDay ( TDate  date,
long  badDayConv,
int  numHolidayLists,
THolidayList *  holidayLists[],
TDate *  outDate 
)

See JpmcdsHolidayListBusinessDay.

Parameters:
date (I) Arbitrary date.
badDayConv (I) Bad day convention for adjusting non-business days. Use one of the following: JPMCDS_BAD_DAY_FOLLOW JPMCDS_BAD_DAY_PREVIOUS JPMCDS_BAD_DAY_MODIFIED JPMCDS_BAD_DAY_NONE
numHolidayLists (I) Size of holidayLists[] array.
holidayLists (I) Holiday lists.
outDate (O) Valid business day.

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