X-Git-Url: https://git.creatis.insa-lyon.fr/pubgit/?p=CreaPhase.git;a=blobdiff_plain;f=octave_packages%2Ffinancial-0.4.0%2Fholidays.m;fp=octave_packages%2Ffinancial-0.4.0%2Fholidays.m;h=d286da1bd5e2bbd165636f29a83d62501f70efad;hp=0000000000000000000000000000000000000000;hb=c880e8788dfc484bf23ce13fa2787f2c6bca4863;hpb=1705066eceaaea976f010f669ce8e972f3734b05

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+## Copyright (C) 2008 Bill Denney <bill@denney.ws>
+##
+## This program is free software; you can redistribute it and/or modify it under
+## the terms of the GNU General Public License as published by the Free Software
+## Foundation; either version 3 of the License, or (at your option) any later
+## version.
+##
+## This program is distributed in the hope that it will be useful, but WITHOUT
+## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
+## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more
+## details.
+##
+## You should have received a copy of the GNU General Public License along with
+## this program; if not, see <http://www.gnu.org/licenses/>.
+
+## -*- texinfo -*-
+## @deftypefn {Function File} {h =} holidays (startdate, enddate)
+##
+## Return a vector of datenums that were holidays between
+## @var{startdate} and @var{enddate}, inclusive.  These holidays are
+## trading holidays observed by the NYSE according to its rule 51.10. It
+## does not take into account the exceptions for "unusual business
+## conditions" or for additional days that have been called as holidays
+## for one-time purposes.
+##
+## The complete list can be found at
+## http://www.chronos-st.org/NYSE_Observed_Holidays-1885-Present.html
+##
+## @seealso{busdate, lbusdate, isbusday, fbusdate}
+## @end deftypefn
+
+function hol = holidays (sd, ed)
+
+  sd = datenum (datevec (sd));
+  ed = datenum (datevec (ed));
+
+  ## just get the start and end years and generate all holidays in that range
+  yrs = year(sd):year(ed);
+
+  hol = [];
+  ## New Year's Day
+  tmphol = datenum (yrs, 1, 1);
+  hol = [hol; tmphol(:)];
+  ## Martin Luther King Day, the third Monday in January
+  tmphol = nweekdate (3, 2, yrs, 1);
+  hol = [hol; tmphol(:)];
+  ## Washington's Birthday, the third Monday in February
+  tmphol = nweekdate (3, 2, yrs, 2);
+  hol = [hol; tmphol(:)];
+  ## Good Friday
+  tmphol = easter (yrs) - 2;
+  hol = [hol; tmphol(:)];
+  ## Memorial Day, the last Monday in May
+  tmphol = lweekdate (2, yrs, 5);
+  hol = [hol; tmphol(:)];
+  ## Independence Day, July 4
+  tmphol = datenum (yrs, 7, 4);
+  hol = [hol; tmphol(:)];
+  ## Labor Day, the first Monday in September
+  tmphol = nweekdate (1, 2, yrs, 9);
+  hol = [hol; tmphol(:)];
+  ## Thanksgiving Day, the fourth Thursday in November
+  tmphol = nweekdate (4, 5, yrs, 11);
+  hol = [hol; tmphol(:)];
+  ## Christmas Day
+  tmphol = datenum (yrs, 12, 25);
+  hol = [hol; tmphol(:)];
+
+  ## Adjust for Saturdays and Sundays
+  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
+
+  ## Trim out the days that are not in the date range
+  hol(hol > ed | hol < sd) = [];
+  hol = sort (hol);
+
+endfunction
+
+## Tests
+%!assert(holidays(datenum(2008,1,1), datenum(2008,12,31)), datenum(2008*ones(9,1), [1;1;2;3;5;7;9;11;12], [1;21;18;21;26;4;1;27;25]))
+## Test Independence day observing on a Monday (July 5) and Christmas
+## observing on a Friday (Dec 24)
+%!assert(holidays(datenum(2004,1,1), datenum(2004,12,31)), datenum(2004*ones(9,1), [1;1;2;4;5;7;9;11;12], [1;19;16;9;31;5;6;25;24]))
+%!assert(holidays(datenum(2008,3,5), datenum(2008,3,8)), zeros(0,1))
+%!assert(holidays(datenum(2008,3,5), datenum(2008,3,5)), zeros(0,1))
+%!assert(holidays(datenum(2008,1,1), datenum(2008,1,1)), datenum(2008,1,1))