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Map Islamic calendar for use as base calendar and fix typos #249

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Map Islamic calendar for use as base calendar and fix typos #249

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c4e79e4
Map IslamicWeekendsOnly for use as base calendar
gbfredrik Jul 4, 2024
4f244ea
Document Islamic weekends only calendar
gbfredrik Jul 4, 2024
beef523
Fix typo in WMR calendar
gbfredrik Jul 4, 2024
acc80aa
Fix BaseCalendar validation to avoid invalid names
gbfredrik Jul 5, 2024
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3 changes: 2 additions & 1 deletion Docs/UserGuide/allowablevalues.tex
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Expand Up @@ -213,7 +213,8 @@ \subsection{Allowable Values}
\emph{XLME} & UK London Metal Exchange \\ \hline
\emph{XNYS} & US New York Stock Exchange Calendar \\ \hline
\emph{XPAR} & Paris stock exchange \\ \hline
\emph{WMR} & Thomson Reuters QM/Reuters Spot \\ \hline
\emph{WMR} & Thomson Reuters WM/Reuters Spot \\ \hline
\emph{IslamicWeekendsOnly} & Islamic Weekends Only Calendar \\ \hline
\emph{WeekendsOnly} & Weekends Only Calendar \\ \hline
\emph{ICE\_FuturesUS} & ICE Futures U.S. Currency, Stock and Credit Index, Metal, Nat Gas, Power, Oil and Environmental \\ \hline
\emph{ICE\_FuturesUS\_1} & ICE Futures U.S. Sugar, Cocoa, Coffee, Cotton and FCOJ \\ \hline
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1 change: 1 addition & 0 deletions OREData/ored/utilities/calendarparser.cpp
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Expand Up @@ -424,6 +424,7 @@ void CalendarParser::reset() {
{"CME", CME()},

// Simple calendars
{"IslamicWeekendsOnly", IslamicWeekendsOnly()},
{"WeekendsOnly", WeekendsOnly()},
{"UNMAPPED", WeekendsOnly()},
{"NullCalendar", NullCalendar()},
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4 changes: 2 additions & 2 deletions QuantExt/qle/calendars/wmr.hpp
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Expand Up @@ -17,7 +17,7 @@
*/

/*! \file wmr.hpp
\brief WMR calendar - Thomson Reuters QM/Reuters Spot
\brief WMR calendar - Thomson Reuters WM/Reuters Spot
*/

#ifndef quantext_wmr_calendar_hpp
Expand All @@ -31,7 +31,7 @@ class Wmr : public QuantLib::Calendar {
private:
class SetImpl : public Calendar::WesternImpl {
public:
std::string name() const override { return "Thomson Reuters QM/Reuters Spot"; }
std::string name() const override { return "Thomson Reuters WM/Reuters Spot"; }
bool isBusinessDay(const QuantLib::Date&) const override;
};

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2 changes: 1 addition & 1 deletion xsd/calendaradjustment.xsd
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Expand Up @@ -11,7 +11,7 @@

<xs:complexType name="newcalendar">
<xs:all>
<xs:element type="xs:string" name="BaseCalendar" minOccurs="0" maxOccurs="1"/>
<xs:element type="calendar" name="BaseCalendar" minOccurs="0" maxOccurs="1"/>
<xs:element type="Dates" name="AdditionalHolidays" minOccurs="0"/>
<xs:element type="Dates" name="AdditionalBusinessDays" minOccurs="0"/>
</xs:all>
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2 changes: 1 addition & 1 deletion xsd/ore_types.xsd
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Expand Up @@ -323,7 +323,7 @@

<xs:simpleType name="calendar">
<xs:restriction base="xs:string">
<xs:pattern value="(JoinHolidays\(|JoinBusinessDays\()?((,)?(, )?(^)?(TGT|TARGET|CN-IB|US-FED|US-GOV|US-NERC|US-NYSE|US-SET|US-SOFR||Australia|Australia settlement|Botswana|Brazil|Canada|Denmark|Hungary|Japan|Norway|Switzerland|Sweden|Belgium|Finland|Luxembourg|Spain|Austria|Romania|Poland|New Zealand|FRA|CATO|CHZU|JPTO|GBLO|SEST|TRIS|USNY|EUTA|BEBR|AE|AT|AR|AU|BW|BR|CA|CL|CN|CO|CZ|DK|FI|FR|DE|HK|HU|IE|IS|IN|ID|IL|IT|JE|JP|MX|MY|NL|NO|NZ|PE|PH|PL|RO|RU|SG|ZA|KR|SE|CH|TW|TH|TR|UA|GB|US|BE|LU|ES|ARE|ARG|AUS|BWA|BRA|CAN|CHL|CHN|COL|CZE|DNK|FIN|DEU|HKG|HUN|ISL|IND|IDN|ISR|ITA|JOD|JPN|KES|LKR|MEX|MUR|MYS|NLD|NOR|NZL|PER|PHL|POL|ROU|RSD|RUS|SAU|SGP|UGX|ZAF|ZMW|KOR|SWE|CHE|TWN|THA|TUR|UKR|GBR|USA|BEL|LUX|ESP|AUT|ARS|AUD|BGN|BWP|BRL|CAD|CLP|CNH|CNY|COP|CZK|DKK|FRF|GHS|HKD|HRK|HUF|INR|IDR|ILS|IRL|ISK|ITL|JPY|MXN|MYR|NOK|NZD|PEN|PHP|PLN|RON|RUB|SAR|SGD|ZAR|KRW|SEK|CHF|EUR|TWD|THB|TRY|UAH|GBP|USD|BEF|LUF|ATS|AED|BHD|CLF|EGP|KWD|KZT|MAD|MXV|NGN|OMR|PKR|QAR|UYU|TND|AOA|GEL|ETB|XOF|VND|GBp|GBX|ILa|ILA|ILs|ILX|ZAc|ZAC|ZAX|XASX|BVMF|XTSE|XSHG|XFRA|XDUB|XPAR|XETR|ECAG|EUWA|XJKT|XIDX|XTAE|XMIL|MISX|XKRX|XSWX|XLON|XLME|XNYS|DEN|TSX|Australia exchange|BOVESPA|Euwax|CME Group|Eurex|Xetra|Frankfurt stock exchange|French settlement|German settlement|Paris stock exchange|Telbor|National Stock Exchange of India|London stock exchange|LNB|London metals exchange|Iceland stock exchange|New York stock exchange|Italian settlement|Santiago Stock Exchange|Ukrainian stock exchange|NGL|NYB|SA|SS|SYB|TKB|TRB|UK|UK settlement|Jakarta stock exchange|US settlement|Belgian settlement|US with Libor impact|US government bond market|North American Energy Reliability Council|Federal Reserve Bankwire System|WMR|ZUB|ICE_FuturesUS|ICE_FuturesUS_1|ICE_FuturesUS_2|ICE_FuturesEU|ICE_FuturesEU_1|ICE_EndexEnergy|ICE_EndexEquities|ICE_SwapTradeUS|ICE Futures U.S.|ICE Futures U.S. 1|ICE Futures U.S. 2|ICE Futures Europe|ICE Futures Europe 1|ICE Endex Energy|ICE Endex Equities|ICE Swap Trade U.S.|ICE Swap Trade U.K.|ICE Futures Singapore|ICE_SwapTradeUK|ICE_FuturesSingapore|CME|Thailand stock exchange|Turkey|Milan stock exchange|Taiwan stock exchange|South-Korean settlement|South-Korea exchange|South Africa|Bratislava stock exchange|Moscow exchange|Mexican stock exchange|Russian settlement|Spanish settlement|Luxembourgish settlement|Dutch settlement|Austrian settlement|Tadawul|Tel Aviv stock exchange|Bucharest stock exchange|Singapore exchange|Hong Kong stock exchange|Vienna stock exchange|Prague stock exchange|China inter bank market|Shanghai stock exchange|Colombia Stock Exchange|Buenos Aires stock exchange|Philippine stock exchange|Lima stock exchange|SIX Swiss Exchange|Malaysia Stock Exchange|Thomson Reuters QM/Reuters Spot|Israel Telbor Implementation|WeekendsOnly|weekends only|UNMAPPED|Null|NullCalendar|[A-Z]{4}|CUSTOM_.*))*(\))?"/>
<xs:pattern value="(JoinHolidays\(|JoinBusinessDays\()?((,)?(, )?(^)?(TGT|TARGET|CN-IB|US-FED|US-GOV|US-NERC|US-NYSE|US-SET|US-SOFR||Australia|Australia settlement|Botswana|Brazil|Canada|Denmark|Hungary|Japan|Norway|Switzerland|Sweden|Belgium|Finland|Luxembourg|Spain|Austria|Romania|Poland|New Zealand|FRA|CATO|CHZU|JPTO|GBLO|SEST|TRIS|USNY|EUTA|BEBR|AE|AT|AR|AU|BW|BR|CA|CL|CN|CO|CZ|DK|FI|FR|DE|HK|HU|IE|IS|IN|ID|IL|IT|JE|JP|MX|MY|NL|NO|NZ|PE|PH|PL|RO|RU|SG|ZA|KR|SE|CH|TW|TH|TR|UA|GB|US|BE|LU|ES|ARE|ARG|AUS|BWA|BRA|CAN|CHL|CHN|COL|CZE|DNK|FIN|DEU|HKG|HUN|ISL|IND|IDN|ISR|ITA|JOD|JPN|KES|LKR|MEX|MUR|MYS|NLD|NOR|NZL|PER|PHL|POL|ROU|RSD|RUS|SAU|SGP|UGX|ZAF|ZMW|KOR|SWE|CHE|TWN|THA|TUR|UKR|GBR|USA|BEL|LUX|ESP|AUT|ARS|AUD|BGN|BWP|BRL|CAD|CLP|CNH|CNY|COP|CZK|DKK|FRF|GHS|HKD|HRK|HUF|INR|IDR|ILS|IRL|ISK|ITL|JPY|MXN|MYR|NOK|NZD|PEN|PHP|PLN|RON|RUB|SAR|SGD|ZAR|KRW|SEK|CHF|EUR|TWD|THB|TRY|UAH|GBP|USD|BEF|LUF|ATS|AED|BHD|CLF|EGP|KWD|KZT|MAD|MXV|NGN|OMR|PKR|QAR|UYU|TND|AOA|GEL|ETB|XOF|VND|GBp|GBX|ILa|ILA|ILs|ILX|ZAc|ZAC|ZAX|XASX|BVMF|XTSE|XSHG|XFRA|XDUB|XPAR|XETR|ECAG|EUWA|XJKT|XIDX|XTAE|XMIL|MISX|XKRX|XSWX|XLON|XLME|XNYS|DEN|TSX|Australia exchange|BOVESPA|Euwax|CME Group|Eurex|Xetra|Frankfurt stock exchange|French settlement|German settlement|Paris stock exchange|Telbor|National Stock Exchange of India|London stock exchange|LNB|London metals exchange|Iceland stock exchange|New York stock exchange|Italian settlement|Santiago Stock Exchange|Ukrainian stock exchange|NGL|NYB|SA|SS|SYB|TKB|TRB|UK|UK settlement|Jakarta stock exchange|US settlement|Belgian settlement|US with Libor impact|US government bond market|North American Energy Reliability Council|Federal Reserve Bankwire System|WMR|ZUB|ICE_FuturesUS|ICE_FuturesUS_1|ICE_FuturesUS_2|ICE_FuturesEU|ICE_FuturesEU_1|ICE_EndexEnergy|ICE_EndexEquities|ICE_SwapTradeUS|ICE Futures U.S.|ICE Futures U.S. 1|ICE Futures U.S. 2|ICE Futures Europe|ICE Futures Europe 1|ICE Endex Energy|ICE Endex Equities|ICE Swap Trade U.S.|ICE Swap Trade U.K.|ICE Futures Singapore|ICE_SwapTradeUK|ICE_FuturesSingapore|CME|Thailand stock exchange|Turkey|Milan stock exchange|Taiwan stock exchange|South-Korean settlement|South-Korea exchange|South Africa|Bratislava stock exchange|Moscow exchange|Mexican stock exchange|Russian settlement|Spanish settlement|Luxembourgish settlement|Dutch settlement|Austrian settlement|Tadawul|Tel Aviv stock exchange|Bucharest stock exchange|Singapore exchange|Hong Kong stock exchange|Vienna stock exchange|Prague stock exchange|China inter bank market|Shanghai stock exchange|Colombia Stock Exchange|Buenos Aires stock exchange|Philippine stock exchange|Lima stock exchange|SIX Swiss Exchange|Malaysia Stock Exchange|Thomson Reuters WM/Reuters Spot|Israel Telbor Implementation|Islamic weekends only|IslamicWeekendsOnly|WeekendsOnly|weekends only|UNMAPPED|Null|NullCalendar|[A-Z]{4}|CUSTOM_.*))*(\))?"/>
</xs:restriction>
</xs:simpleType>
<xs:simpleType name="dayCounter">
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