On 27 October 2012 16:26, <littleman...@yahoo.com> wrote: > On 27 October 2012 14:46, Carnë Draug <carandraug+...@gmail.com> wrote: >> On 26 October 2012 15:24, <littleman...@yahoo.com> wrote: >>> Hi Carnë, >>> >>> After more careful inspection, it appears that when New Years Day falls >>> on a Saturday, the holiday is not observed at all. The holidays function >>> does not check that, so modifying line 41 will fix that (and also allow >>> holidays to pass its test). So please disregard the previous code change >>> suggestion, and consider the following instead. >>> >>> from holidays.m: >>> ------------------------------------------ >>> ## New Year's Day >>> tmphol = datenum (yrs, 1, 1); >>> hol = [hol; tmphol(weekday(tmphol(:)) ~= 7)(:)]; >>> ------------------------------------------ >>> I modified the last line from >>> hol = [hol; tmphol(:)]; >>> >>> Thanks for the link. I will submit octave-forge bugs there in the future. >>> Should I open up a new thread there for this bug, or is that unnecessary? >>> >>> -Randy Chamberlin >> >> Hi Randy >> >> not necessary this time. I have commited your changes see >> https://sourceforge.net/p/octave/code/11368 > > I was taking a closer look at the function and noticed the block near > the end that is meant to adjust for sundays and saturdays. > > wd = weekday (hol); > if any (wd == 1) > hol(wd == 1) = hol(wd == 1) + 1; > endif > if any (wd == 7) > hol(wd == 7) = hol(wd == 7) - 1; > endif > > I believe that a better fix should go in here. > > Carnë > ---------------------- > > Hi Carne, > > I think the problem is that according to NYSE rules, holidays are not > allowed to span across a calendar year. > > From the NYSE rules at > http://nyserules.nyse.com/nysetools/PlatformViewer.asp?SelectedNode=chp_1_3&manual=/nyse/rules/nyse-rules/ > > "The Exchange Board has also determined that, when any holiday observed by > the Exchange falls on a Saturday, the Exchange will not be open for business > on the preceding Friday and when any holiday observed by the Exchange falls > on a Sunday, the Exchange will not be open for business on the succeeding > Monday, unless unusual business conditions exist, such as the ending of a > monthly or the yearly accounting period." > > So in general, Saturday holidays should be shifted to the previous Friday, > and Sunday holidays to the next Monday, except when it crosses a calendar > year. So I think the original logic (pre my patch) is correct, with the > exception that it does not attempt to account for the case where New Years > Day falls on a Saturday and crosses a yearly accounting period. In that > case, the NYSE rules say it should be ignored, but the original logic alone > doesn't do that. If you check the link posted in the help file for holidays > (http://www.chronos-st.org/NYSE_Observed_Holidays-1885-Present.html), you > can see that Saturday, Jan 1, 2005 was not observed. Since New Years Day is > the only holiday that can cross "yearly account periods", the check is only > required for that one holiday, and so I would argue the previous fix (line > 41) is best for minimizing processor time. If you think it would be easier > to read by putting a change in the weekday pruning block, I believe the > following, added at line 77 would also do it: > > ## Delete any New Years Day holidays that cross calendar years > hol(day(hol) == 31 & month(hol) == 12) = []; > > This must be added after the adjustment for Saturday.. > > -Randy Chamberlin
Hi Randy I think I prefer your previous fix. Anyway, for matlab compatibility, I have added a bunch of extra "holidays" due to closing for special occasions. This means hardcoding all dates between 1885 and 2050. The previous code (with your fix), is used for dates outside that range. I have also simplified the original code by removing temporary variables (Octave can directly index output of functions). See https://sourceforge.net/p/octave/code/11371/tree/trunk/octave-forge/main/financial/inst/holidays.m and please give it a try. Carnë ------------------------------------------------------------------------------ WINDOWS 8 is here. Millions of people. Your app in 30 days. Visit The Windows 8 Center at Sourceforge for all your go to resources. http://windows8center.sourceforge.net/ join-generation-app-and-make-money-coding-fast/ _______________________________________________ Octave-dev mailing list Octave-dev@lists.sourceforge.net https://lists.sourceforge.net/lists/listinfo/octave-dev
