On 9/13/10 12:06 PM, Chris Withers wrote:
Hi All,
I'm wondering what libraries people would use to answer the following questions
relating to business days:
- on a naive level; "what's give me the last business day" (ie: skipping
weekends)
- on a less-naive level; same question but taking into account public holidays
- on a horrific level; same question, but taking into account business days of a
particular market (NYSE, LSE, etc)
Quantlib has a fairly good (by which I mean, horrific) collection of these
implemented in C++:
http://quantlib.svn.sourceforge.net/viewvc/quantlib/trunk/QuantLib/ql/time/calendars/
If you only need a few of these, it can be more straightforward to look at them
and recode them rather than trying to build Quantlib and its wrappers. Most of
them have some algorithmic component (e.g. weekends, "easy" recurring holidays)
and some exceptional cases (e.g. the days NYSE was closed after 2001-09-11).
--
Robert Kern
"I have come to believe that the whole world is an enigma, a harmless enigma
that is made terrible by our own mad attempt to interpret it as though it had
an underlying truth."
-- Umberto Eco
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