update hk calendar (#1640)

lballabio · Apr 26, 2023 · e6a4bfc · e6a4bfc
2 parents 647528e + 1735e07
commit e6a4bfc
Showing 1 changed file with 54 additions and 0 deletions.
diff --git a/ql/time/calendars/hongkong.cpp b/ql/time/calendars/hongkong.cpp
@@ -329,6 +329,60 @@ namespace QuantLib {
                return false;
         }
 
+        // data from https://www.hkex.com.hk/-/media/hkex-market/services/circulars-and-notices/participant-and-members-circulars/sehk/2020/ce_sehk_ct_038_2020.pdf
+        if (y == 2021)
+        {
+            if (// Lunar New Year
+                ((d == 12 || d == 15) && m == February)
+                // Ching Ming Festival
+                || (d == 5 && m == April)
+                // Buddha's birthday
+                || (d == 19 && m == May)
+                // Tuen Ng festival
+                || (d == 14 && m == June)
+                // Mid-autumn festival
+                || (d == 22 && m == September)
+                // Chung Yeung festival
+                || (d == 14 && m == October))
+                return false;
+        }
+
+        // data from https://www.hkex.com.hk/-/media/HKEX-Market/Services/Circulars-and-Notices/Participant-and-Members-Circulars/SEHK/2021/ce_SEHK_CT_082_2021.pdf
+        if (y == 2022)
+        {
+            if (// Lunar New Year
+                ((d >= 1 && d <= 3) && m == February)
+                // Ching Ming Festival
+                || (d == 5 && m == April)
+                // Buddha's birthday
+                || (d == 9 && m == May)
+                // Tuen Ng festival
+                || (d == 3 && m == June)
+                // Mid-autumn festival
+                || (d == 12 && m == September)
+                // Chung Yeung festival
+                || (d == 4 && m == October))
+                return false;
+        }
+
+        // data from https://www.hkex.com.hk/-/media/HKEX-Market/Services/Circulars-and-Notices/Participant-and-Members-Circulars/SEHK/2022/ce_SEHK_CT_058_2022.pdf
+        if (y == 2023)
+        {
+            if (// Lunar New Year
+                ((d >= 23 && d <= 25) && m == January)
+                // Ching Ming Festival
+                || (d == 5 && m == April)
+                // Buddha's birthday
+                || (d == 26 && m == May)
+                // Tuen Ng festival
+                || (d == 22 && m == June)
+                // Mid-autumn festival
+                || (d == 12 && m == September)
+                // Chung Yeung festival
+                || (d == 4 && m == October))
+                return false;
+        }
+
         return true;
     }