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Calendar-Related Functions

上海子午线About 3 min

Calendar-Related Functions

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Constructor Functions

Excel: =McpCalendar(code, dates)

Python: McpCalendar(*args)

  • Function: Constructs a holiday object.
  • Parameters:
    • code: Currency code (currently supports single currency only, not currency pairs).
    • dates: Holiday data for the currency.
    • *args： It is a dictionary with key/value pairs, similar to the parameters in Excel.
  • Returns: A holiday object for subsequent calculations.

Excel: =McpNCalendar(ccys, holidays)

  • Function: Constructs a Calendar using currency and holiday data.
  • Parameters:
    • ccys: One or more currency codes.
    • holidays: Corresponding holiday data.
  • Returns: A holiday object for subsequent calculations.

Excel: =McpFCalendar(ccys, path=None)

  • Function: Constructs a Calendar using currency and a holiday file.
  • Parameters:
    • ccys: One or more currency codes.
    • path: Path to the holiday file (default is control/Holidays.txt).
  • Returns: A holiday object for subsequent calculations.

Usage Functions

Excel: =CalendarAddBusinessDays(cal, date, count, calendarCodes="")

Python: AddBusinessDays(*args)

  • Function: Adds a specified number of business days to a given date.
  • Parameters:
    • cal: Holiday object.
    • date: Start date.
    • count: Number of business days to add.
    • calendarCodes: Specifies the currency or currency pair holidays to use (default is empty, using the entire cal).
    • *args：is a dictionary, does not require the cal parameter, other parameters are the same as those in Excel.
  • Returns: Adjusted date.
  • Example:
    =CalendarAddBusinessDays(McpCalendar("USD", "USD", "2023-01-01,2023-12-25"), "2023-01-01", 5)
    Returns 2023-01-09 (assuming 2023-01-01 and 2023-01-07 are holidays).

Excel: =CalendarAddPeriod(cal, date, tenor, dateAdjustRule=DateAdjusterRule.Actual, endOfMonthRule=False, lastOpenDay=False, calendarCodes='')

Python: AddPeriod(*args)

  • Function: Adds a tenor (period) to a given date.
  • Parameters:
    • cal: Holiday object.
    • date: Start date.
    • tenor: Period (e.g., 1M, 3M, etc.).
    • dateAdjustRule: Date adjustment rule (default is Actual).
    • endOfMonthRule: Whether to enable the end-of-month rule (default is False).
    • lastOpenDay: Whether to consider the last open trading day (default is False).
    • calendarCodes: Specifies the currency or currency pair holidays to use (default is empty, using the entire cal).
    • *args：is a dictionary, does not require the cal parameter, other parameters are the same as those in Excel.
  • Returns: Adjusted date.
  • Example:
    =CalendarAddPeriod(McpCalendar("USD", "USD", "2023-01-01,2023-12-25"), "2023-01-01", "1M")
    Returns 2023-02-01 (assuming 2023-01-01 is a holiday).

Excel: =CalendarValueDate(cal, date, isFollowing=True, calendarCodes='')

Python: ValueDate(*args)

  • Function: Calculates the value date based on a given date.
  • Parameters:
    • cal: Holiday object.
    • date: Start date.
    • isFollowing: Whether to adjust using the Following rule (default is True).
    • calendarCodes: Specifies the currency or currency pair holidays to use (default is empty, using the entire cal).
    • *args：is a dictionary, does not require the cal parameter, other parameters are the same as those in Excel.
  • Returns: Adjusted value date.
  • Example:
    =CalendarValueDate(McpCalendar("USD", "USD", "2023-01-01,2023-12-25"), "2023-01-01")
    Returns 2023-01-03 (assuming 2023-01-01 is a holiday).

Excel: =CalendarAdjust(cal, date, rule, calendarCodes="")

Python: Adjust(*args)

  • Function: Adjusts a date based on a specified rule.
  • Parameters:
    • cal: Holiday object.
    • date: Start date.
    • rule: Adjustment rule (enumeration value).
    • calendarCodes: Specifies the currency or currency pair holidays to use (default is empty, using the entire cal).
    • *args：is a dictionary, does not require the cal parameter, other parameters are the same as those in Excel.
  • Returns: Adjusted date.

Excel: =CalendarFXOExpiryDate(cal, date, calendarCodes='')

Python: FXOExpiryDate(*args)

  • Function: Calculates the expiry date based on the delivery date.
  • Parameters:
    • cal: Holiday object.
    • date: Delivery date.
    • calendarCodes: Specifies the currency or currency pair holidays to use (default is empty, using the entire cal).
    • *args：is a dictionary, does not require the cal parameter, other parameters are the same as those in Excel.
  • Returns: Expiry date.

Excel: =CalendarFXODeliveryDateFromTenor(cal, referenceDate, tenor, spotDate, calendarCodes='')

Python: FXODeliveryDateFromTenor(*args)

  • Function: Calculates the delivery date based on a tenor.
  • Parameters:
    • cal: Holiday object.
    • referenceDate: Trade date or valuation date.
    • tenor: Period.
    • spotDate: Value date.
    • calendarCodes: Specifies the currency or currency pair holidays to use (default is empty, using the entire cal).
    • *args：is a dictionary, does not require the cal parameter, other parameters are the same as those in Excel.
  • Returns: Delivery date.

Excel: =CalendarFXOExpiryDateFromTenor(cal, referenceDate, tenor, spotDate, calendarCodes='')

Python: FXOExpiryDateFromTenor(*args)

  • Function: Calculates the expiry date based on a tenor.
  • Parameters:
    • cal: Holiday object.
    • referenceDate: Trade date or valuation date.
    • tenor: Period.
    • spotDate: Value date.
    • calendarCodes: Specifies the currency or currency pair holidays to use (default is empty, using the entire cal).
    • *args：is a dictionary, does not require the cal parameter, other parameters are the same as those in Excel.
  • Returns: Expiry date.

Excel: =CalendarIsBusinessDay(cal, date, calendarCodes='')

Python: IsBusinessDay(date, calendarCodes)

  • Function: Checks if a given date is a business day.
  • Parameters:
    • cal: Holiday object.
    • date: Date to check.
    • calendarCodes: Specifies the currency or currency pair holidays to use (default is empty, using the entire cal).
  • Returns: True if it is a business day, otherwise False.
  • Example:
    =CalendarIsBusinessDay(McpCalendar("USD", "USD", "2023-01-01,2023-12-25"), "2023-01-01")
    Returns False (assuming 2023-01-01 is a holiday).

Excel: =CalendarValueDateTenor(cal, date, tenor, calendarCodes="", isFarLeg=True)

  • Function: Calculates the near or far value date based on a trade date or valuation date and a tenor.
  • Parameters:
    • cal: Holiday object.
    • date: Start date.
    • tenor: Period.
    • calendarCodes: Specifies the currency or currency pair holidays to use (default is empty, using the entire cal).
    • isFarLeg: Whether to calculate the far value date (default is True; if False, calculates the near value date).
  • Returns: Near or far value date.

Excel: =McpDayCounter(dayCounter)

  • Function: Constructs a DayCounter object.
  • Parameters:
    • dayCounter: Day count convention (enumeration value).
  • Returns: A DayCounter object for subsequent calculations.

Excel: =DayCounterYearFraction(dayCounter, startDate, endDate)

  • Function: Calculates the year fraction between two dates.
  • Parameters:
    • dayCounter: Day count convention (enumeration value).
    • startDate: Start date.
    • endDate: End date.
  • Returns: Year fraction.
  • Example:
    =DayCounterYearFraction(McpDayCounter("Actual/360"), "2023-01-01", "2023-12-31")
    Returns 1.0 (assuming the Actual/360 convention is used).
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