Functions to handle business days calculations
Project description
bizdays computes business days between two dates based on the definition of nonworking days (usually holidays and weekends—nonworking weekdays). It also computes other collateral effects like adjust dates for the next or previous business day, check whether a date is a business day, create generators of business days sequences, and so forth.
Install
bizdays is avalilable at PyPI, so it is pip instalable.
pip install bizdays
Using
Business days calculations are done defining a Calendar
object.
from bizdays import Calendar
cal = Calendar(holidays, ['Sunday', 'Saturday'])
where holidays
is a sequence of dates which represents nonworking dates and the second argument, weekdays
, is a sequence with nonworking weekdays.
holidays
must be a sequence of strings with ISO formatted dates or datetime.date
objects and weekdays
a sequence of weekdays in words.
Once you have a Calendar
you can
>>> cal.isbizday('2014-01-12')
False
>>> cal.isbizday('2014-01-13')
True
>>> cal.bizdays('2014-01-13', '2015-01-13')
253
>>> cal.adjust_next('2015-12-25')
datetime.date(2015, 12, 28)
>>> cal.adjust_next('2015-12-28')
datetime.date(2015, 12, 28)
>>> cal.adjust_previous('2014-01-01')
datetime.date(2013, 12, 31)
>>> cal.adjust_previous('2014-01-02')
datetime.date(2014, 1, 2)
>>> cal.seq('2014-01-02', '2014-01-07')
<generator object seq at 0x1092b02d0>
>>> list(cal.seq('2014-01-02', '2014-01-07'))
[datetime.date(2014, 1, 2), datetime.date(2014, 1, 3), datetime.date(2014, 1, 6), datetime.date(2014, 1, 7)]
>>> cal.offset('2014-01-02', 5)
datetime.date(2014, 1, 9)
>>> cal.getdate('15th day', 2002, 5)
datetime.date(2002, 5, 15)
>>> cal.getdate('15th bizday', 2002, 5)
datetime.date(2002, 5, 22)
>>> cal.getdate('last wed', 2002, 5)
datetime.date(2002, 5, 29)
>>> cal.getdate('first fri before last day ', 2002, 5)
datetime.date(2002, 5, 24)
In this example I used the list of holidays released by ANBIMA.
Important note on date arguments and returning dates
As you can see in the examples all date arguments are strings ISO formatted (
YYYY-mm-dd
or%Y-%m-%d
), but they can also be passed asdatetime.date
objects. All returning dates aredatetime.date
objects (or a sequence of it), unless you setiso=True
, that will return an ISO formatted string.
The
startdate
andenddate
of aCalendar
are defined accordingly the first and last given holidays.
bizdays
To compute the business days between two dates you call bizdays
passing from
and to
dates as arguments.
>>> cal.bizdays('2012-12-31', '2013-01-03')
2
getdate
You specify dates by its position or related to other dates, for example:
>>> cal.getdate('15th day', 2002, 5)
datetime.date(2002, 5, 15)
it returns the 15th day of 2002 may. You can also reffer to the whole year.
>>> cal.getdate('150th day', 2002)
datetime.date(2002, 5, 30)
It accepts day
, bizday
and weekdays by: sun
, mon
, tue
, wed
, thu
, fri
, and sat
.
>>> cal.getdate('last day', 2006)
datetime.date(2006, 12, 31)
>>> cal.getdate('last bizday', 2006)
datetime.date(2006, 12, 29)
>>> cal.getdate('last mon', 2006)
datetime.date(2006, 12, 25)
For postion use: first
, second
, third
, 1st
, 2nd
, 3rd
, [n]th
, and last
.
Using date postions as a reference
You can find before and after other date positions (using date positions as a reference).
>>> cal.getdate('last mon before 30th day', 2006, 7)
datetime.date(2006, 7, 24)
>>> cal.getdate('second bizday after 15th day', 2006)
datetime.date(2006, 1, 18)
following and preceding
Several contracts, by default, always expiry in the same day, for example, 1st Januray, which isn't a business day, so instead of carrying your code with awful checks you could call following
which returns the given date
whether it is a business day or the next business day.
>>> cal.following('2013-01-01')
datetime.date(2013, 1, 2)
>>> cal.following('2013-01-02')
datetime.date(2013, 1, 2)
We also have preceding
, although I suppose it is unusual, too.
>>> cal.preceding('2013-01-01')
datetime.date(2012, 12, 31)
modified_following and modified_preceding
modified_following
and modified_preceding
are common functions used to specify maturity of contracts.
They work the same way following
and preceding
but once the returning date is a different month it is adjusted to the following
or preceding
business day in the same month.
>>> dt = cal.getdate('last day', 2002, 3)
>>> dt
datetime.date(2002, 3, 31)
>>> cal.modified_following(dt, iso=True)
'2002-03-28'
>>> cal.isbizday('2002-03-29')
False
>>> dt = cal.getdate('first day', 2002, 6)
>>> dt
datetime.date(2002, 6, 1)
>>> cal.modified_preceding(dt, iso=True)
'2002-06-03'
seq
To execute calculations through sequential dates, sometimes you must consider only business days.
For example, you want to compute the price of a bond from its issue date up to its maturity.
You have to walk over business days in order to carry the contract up to maturity.
To accomplish that you use the seq
method (stolen from R) which returns a sequence generator of business days.
>>> for dt in cal.seq('2012-12-31', '2013-01-03'):
... print dt
...
2012-12-31
2013-01-02
2013-01-03
offset
This method offsets the given date by n
days respecting the calendar, so it obligatorily returns a business day.
>>> cal.offset('2013-01-02', 1)
datetime.date(2013, 1, 3)
>>> cal.offset('2013-01-02', 3)
datetime.date(2013, 1, 7)
>>> cal.offset('2013-01-02', 0)
datetime.date(2013, 1, 2)
Obviously, if you want to offset backwards you can use -n
.
>>> print cal.offset('2013-01-02', -1)
2012-12-31
>>> print cal.offset('2013-01-02', -3)
2012-12-27
Once the given date is a business day there is no problems, but if instead it isn't a working day the offset can lead to unexpected results. For example:
>>> cal.offset('2013-01-01', 1)
datetime.date(2013, 1, 2)
>>> cal.offset('2013-01-01', 0)
datetime.date(2013, 1, 1)
>>> cal.offset('2013-01-01', -1)
datetime.date(2012, 12, 31)
Actual Calendar
The Actual Calendar can be defined as
>>> cal = Calendar(name='actual')
>>> cal
Calendar: actual
Start: 1970-01-01
End: 2071-01-01
Holidays: 0
Financial: True
The Actual Calendar doesn't consider holidays, nor nonworking weekdays for counting business days between 2 dates. This is the same of subtracting 2 dates, and adjust methods will return the given argument. But the idea of using the Actual Calendar is working with the same interface for any calendar you work with. When you price financial instruments you don't have to check if it uses business days or not.
startdate
andenddate
defaults to1970-01-01
and2071-01-01
, but they can be set during Calendar's instanciation.
Vectorized operations
The Calendar's methods: isbizday
, bizdays
, adjust_previous
, adjust_next
, and offset
, have a vectorized counterparty, inside Calendar.vec
attribute.
>>> cal = Calendar.load('Test.cal')
>>> dates = ('2002-01-01', '2002-01-02', '2002-01-03')
>>> tuple(cal.vec.adjust_next(dates))
(datetime.date(2002, 1, 2),
datetime.date(2002, 1, 2),
datetime.date(2002, 1, 3))
>>> list(cal.vec.bizdays('2001-12-31', dates))
[0, 1, 2]
These functions accept sequences and single values, but always return generators.
In bizdays
call a date and a sequence have been passed, computing business days between that date and all the others.
Recycle rule
Once you pass 2 sequences for bizdays
and offset
and those sequences doesn't have the same length, no problem.
The shorter collection is cycled to fit the longer's length.
>>> dates = ('2002-01-01', '2002-01-02', '2002-01-03', '2002-01-04', '2002-01-05')
>>> tuple(cal.vec.offset(dates, (1, 2, 3)))
(datetime.date(2002, 1, 3),
datetime.date(2002, 1, 4),
datetime.date(2002, 1, 8),
datetime.date(2002, 1, 7),
datetime.date(2002, 1, 9))
These methods work well with sequences but not with generators, since I haven't found an easy way to find out which generator is the shorter.
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