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calendrical.py
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################################################################################
#
# Package : calendrical
# Created : July 11, 2017
# Reference : Calendrical Calculations, Cambridge Press, 2002
#
# Copyright 2017 ScottFree Analytics LLC
# Mark Conway & Robert D. Scott II
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
#
################################################################################
#
# Imports
#
import logging
import math
import pandas as pd
#
# Initialize logger
#
logger = logging.getLogger(__name__)
#
# Function biz_day_month
#
def biz_day_month(rdate):
r"""Calculate the business day of the month.
Parameters
----------
rdate : int
RDate date format.
Returns
-------
bdm : int
Business day of month.
"""
gyear, gmonth, _ = rdate_to_gdate(rdate)
rdate1 = gdate_to_rdate(gyear, gmonth, 1)
bdm = 0
index_date = rdate1
while index_date <= rdate:
dw = day_of_week(index_date)
week_day = dw >= 1 and dw <= 5
if week_day:
bdm += 1
index_date += 1
holidays = set_holidays(gyear, True)
for h in holidays:
holiday = holidays[h]
in_period = holiday >= rdate1 and holiday <= rdate
dwh = day_of_week(holiday)
week_day = dwh >= 1 and dwh <= 5
if in_period and week_day:
bdm -= 1
return bdm
#
# Function biz_day_week
#
def biz_day_week(rdate):
r"""Calculate the business day of the week.
Parameters
----------
rdate : int
RDate date format.
Returns
-------
bdw : int
Business day of week.
"""
gyear, _, _ = rdate_to_gdate(rdate)
dw = day_of_week(rdate)
week_day = dw >= 1 and dw <= 5
bdw = 0
if week_day:
rdate1 = rdate - dw + 1
rdate2 = rdate - 1
holidays = set_holidays(gyear, True)
for h in holidays:
holiday = holidays[h]
in_period = holiday >= rdate1 and holiday <= rdate2
if in_period:
bdw -= 1
return bdw
#
# Function christmas_day
#
def christmas_day(gyear, observed):
r"""Get Christmas Day for a given year.
Parameters
----------
gyear : int
Gregorian year.
observed : bool
False if the exact date, True if the weekday.
Returns
-------
xmas : int
Christmas Day in RDate format.
"""
xmas = gdate_to_rdate(gyear, 12, 25)
if observed:
if day_of_week(xmas) == 6:
xmas -= 1
if day_of_week(xmas) == 0:
xmas += 1
return xmas
#
# Function day_of_week
#
def day_of_week(rdate):
r"""Get the ordinal day of the week.
Parameters
----------
rdate : int
RDate date format.
Returns
-------
dw : int
Ordinal day of the week.
"""
dw = rdate % 7
return dw
#
# Function day_of_year
#
def day_of_year(gyear, gmonth, gday):
r"""Calculate the day number of the given calendar year.
Parameters
----------
gyear : int
Gregorian year.
gmonth : int
Gregorian month.
gday : int
Gregorian day.
Returns
-------
dy : int
Day number of year in RDate format.
"""
dy = gsubtract(gyear - 1, 12, 31, gyear, gmonth, gday)
return dy
#
# Function days_left_in_year
#
def days_left_in_year(gyear, gmonth, gday):
r"""Calculate the number of days remaining in the calendar year.
Parameters
----------
gyear : int
Gregorian year.
gmonth : int
Gregorian month.
gday : int
Gregorian day.
Returns
-------
days_left : int
Calendar days remaining in RDate format.
"""
days_left = gsubtract(gyear, gmonth, gday, gyear, 12, 31)
return days_left
#
# Function easter_day
#
def easter_day(gyear):
r"""Get Easter Day for a given year.
Parameters
----------
gyear : int
Gregorian year.
Returns
-------
ed : int
Easter Day in RDate format.
"""
century = math.floor(gyear / 100) + 1
epacts = (14 + 11 * (gyear % 19) - math.floor(3 * century / 4) \
+ math.floor((5 + 8 * century) / 25)) % 30
if epacts == 0 or (epacts == 1 and 10 < (gyear % 19)):
epacta = epacts + 1
else:
epacta = epacts
rdate = gdate_to_rdate(gyear, 4, 19) - epacta
ed = kday_after(rdate, 0)
return ed
#
# Function first_kday
#
def first_kday(k, gyear, gmonth, gday):
r"""Calculate the first kday in RDate format.
Parameters
----------
k : int
Day of the week.
gyear : int
Gregorian year.
gmonth : int
Gregorian month.
gday : int
Gregorian day.
Returns
-------
fkd : int
first-kday in RDate format.
"""
fkd = nth_kday(1, k, gyear, gmonth, gday)
return fkd
#
# Function gdate_to_rdate
#
def gdate_to_rdate(gyear, gmonth, gday):
r"""Convert Gregorian date to RDate format.
Parameters
----------
gyear : int
Gregorian year.
gmonth : int
Gregorian month.
gday : int
Gregorian day.
Returns
-------
rdate : int
RDate date format.
"""
if gmonth <= 2:
rfactor = 0
elif gmonth > 2 and leap_year(gyear):
rfactor = -1
else:
rfactor = -2
rdate = 365 * (gyear - 1) \
+ math.floor((gyear - 1) / 4) \
- math.floor((gyear - 1) / 100) \
+ math.floor((gyear - 1) / 400) \
+ math.floor(((367 * gmonth) - 362) / 12) \
+ gday + rfactor
return(rdate)
#
# Function good_friday
#
def good_friday(gyear):
r"""Get Good Friday for a given year.
Parameters
----------
gyear : int
Gregorian year.
Returns
-------
gf : int
Good Friday in RDate format.
"""
gf = easter_day(gyear) - 2
return gf
#
# Function independence_day
#
def independence_day(gyear, observed):
r"""Get Independence Day for a given year.
Parameters
----------
gyear : int
Gregorian year.
observed : bool
False if the exact date, True if the weekday.
Returns
-------
d4j : int
Independence Day in RDate format.
"""
d4j = gdate_to_rdate(gyear, 7, 4)
if observed:
if day_of_week(d4j) == 6:
d4j -= 1
if day_of_week(d4j) == 0:
d4j += 1
return d4j
#
# Function kday_after
#
def kday_after(rdate, k):
r"""Calculate the day after a given RDate.
Parameters
----------
rdate : int
RDate date format.
k : int
Day of the week.
Returns
-------
kda : int
kday-after in RDate format.
"""
kda = kday_on_before(rdate + 7, k)
return kda
#
# Function kday_before
#
def kday_before(rdate, k):
r"""Calculate the day before a given RDate.
Parameters
----------
rdate : int
RDate date format.
k : int
Day of the week.
Returns
-------
kdb : int
kday-before in RDate format.
"""
kdb = kday_on_before(rdate - 1, k)
return kdb
#
# Function kday_nearest
#
def kday_nearest(rdate, k):
r"""Calculate the day nearest a given RDate.
Parameters
----------
rdate : int
RDate date format.
k : int
Day of the week.
Returns
-------
kdn : int
kday-nearest in RDate format.
"""
kdn = kday_on_before(rdate + 3, k)
return kdn
#
# Function kday_on_after
#
def kday_on_after(rdate, k):
r"""Calculate the day on or after a given RDate.
Parameters
----------
rdate : int
RDate date format.
k : int
Day of the week.
Returns
-------
kdoa : int
kday-on-or-after in RDate format.
"""
kdoa = kday_on_before(rdate + 6, k)
return kdoa
#
# Function kday_on_before
#
def kday_on_before(rdate, k):
r"""Calculate the day on or before a given RDate.
Parameters
----------
rdate : int
RDate date format.
k : int
Day of the week.
Returns
-------
kdob : int
kday-on-or-before in RDate format.
"""
kdob = rdate - day_of_week(rdate - k)
return kdob
#
# Function labor_day
#
def labor_day(gyear):
r"""Get Labor Day for a given year.
Parameters
----------
gyear : int
Gregorian year.
Returns
-------
lday : int
Labor Day in RDate format.
"""
lday = first_kday(1, gyear, 9, 1)
return lday
#
# Function last_kday
#
def last_kday(k, gyear, gmonth, gday):
r"""Calculate the last kday in RDate format.
Parameters
----------
k : int
Day of the week.
gyear : int
Gregorian year.
gmonth : int
Gregorian month.
gday : int
Gregorian day.
Returns
-------
lkd : int
last-kday in RDate format.
"""
lkd = nth_kday(-1, k, gyear, gmonth, gday)
return lkd
#
# Function leap_year
#
def leap_year(gyear):
r"""Determine if this is a Gregorian leap year.
Parameters
----------
gyear : int
Gregorian year.
Returns
-------
leap_year : bool
True if a Gregorian leap year, else False.
"""
mod1 = (gyear % 4 == 0)
mod2 = True
if gyear % 100 == 0:
mod2 = gyear % 400 == 0
leap_year = False
if mod1 and mod2:
leap_year = True
return leap_year
#
# Function memorial_day
#
def memorial_day(gyear):
r"""Get Memorial Day for a given year.
Parameters
----------
gyear : int
Gregorian year.
Returns
-------
md : int
Memorial Day in RDate format.
"""
md = last_kday(1, gyear, 5, 31)
return md
#
# Function mlk_day
#
def mlk_day(gyear):
r"""Get Martin Luther King Day for a given year.
Parameters
----------
gyear : int
Gregorian year.
Returns
-------
mlkday : int
Martin Luther King Day in RDate format.
"""
mlkday = nth_kday(3, 1, gyear, 1, 1)
return mlkday
#
# Function new_years_day
#
def new_years_day(gyear, observed):
r"""Get New Year's day for a given year.
Parameters
----------
gyear : int
Gregorian year.
observed : bool
False if the exact date, True if the weekday.
Returns
-------
nyday : int
New Year's Day in RDate format.
"""
nyday = gdate_to_rdate(gyear, 1, 1)
if observed and day_of_week(nyday) == 0:
nyday += 1
return nyday
#
# Function next_event
#
def next_event(rdate, events):
r"""Find the next event after a given date.
Parameters
----------
rdate : int
RDate date format.
events : list of RDate (int)
Monthly events in RDate format.
Returns
-------
event : RDate (int)
Next event in RDate format.
"""
event = next(e for e in events if e > rdate)
return event
#
# Function next_holiday
#
def next_holiday(rdate, holidays):
r"""Find the next holiday after a given date.
Parameters
----------
rdate : int
RDate date format.
holidays : dict of RDate (int)
Holidays in RDate format.
Returns
-------
holiday : RDate (int)
Next holiday in RDate format.
"""
holiday = next(h for h in sorted(holidays.values()) if h > rdate)
return holiday
#
# Function nth_bizday
#
def nth_bizday(n, gyear, gmonth):
r"""Calculate the nth business day in a month.
Parameters
----------
n : int
Number of the business day to get.
gyear : int
Gregorian year.
gmonth : int
Gregorian month.
Returns
-------
bizday : int
Nth business day of a given month in RDate format.
"""
rdate = gdate_to_rdate(gyear, gmonth, 1)
holidays = set_holidays(gyear, True)
ibd = 0
idate = rdate
while (ibd < n):
dw = day_of_week(idate)
week_day = dw >= 1 and dw <= 5
if week_day and idate not in holidays.values():
ibd += 1
bizday = idate
idate += 1
return bizday
#
# Function nth_kday
#
def nth_kday(n, k, gyear, gmonth, gday):
r"""Calculate the nth-kday in RDate format.
Parameters
----------
n : int
Occurrence of a given day counting in either direction.
k : int
Day of the week.
gyear : int
Gregorian year.
gmonth : int
Gregorian month.
gday : int
Gregorian day.
Returns
-------
nthkday : int
nth-kday in RDate format.
"""
rdate = gdate_to_rdate(gyear, gmonth, gday)
if n > 0:
nthkday = 7 * n + kday_before(rdate, k)
else:
nthkday = 7 * n + kday_after(rdate, k)
return nthkday
#
# Function presidents_day
#
def presidents_day(gyear):
r"""Get President's Day for a given year.
Parameters
----------
gyear : int
Gregorian year.
Returns
-------
prezday : int
President's Day in RDate format.
"""
prezday = nth_kday(3, 1, gyear, 2, 1)
return prezday
#
# Function previous_event
#
def previous_event(rdate, events):
r"""Find the previous event before a given date.
Parameters
----------
rdate : int
RDate date format.
events : list of RDate (int)
Monthly events in RDate format.
Returns
-------
event : RDate (int)
Previous event in RDate format.
"""
event = next(e for e in sorted(events, reverse=True) if e < rdate)
return event
#
# Function previous_holiday
#
def previous_holiday(rdate, holidays):
r"""Find the previous holiday before a given date.
Parameters
----------
rdate : int
RDate date format.
holidays : dict of RDate (int)
Holidays in RDate format.
Returns
-------
holiday : RDate (int)
Previous holiday in RDate format.
"""
holiday = next(h for h in sorted(holidays.values(), reverse=True) if h < rdate)
return holiday
#
# Function rdate_to_gdate
#
def rdate_to_gdate(rdate):
r"""Convert RDate format to Gregorian date format.
Parameters
----------
rdate : int
RDate date format.
Returns
-------
gyear : int
Gregorian year.
gmonth : int
Gregorian month.
gday : int
Gregorian day.
"""
gyear = rdate_to_gyear(rdate)
priordays = rdate - gdate_to_rdate(gyear, 1, 1)
value1 = gdate_to_rdate(gyear, 3, 1)
if rdate < value1:
correction = 0
elif rdate >= value1 and leap_year(gyear):
correction = 1
else:
correction = 2
gmonth = math.floor((12 * (priordays + correction) + 373) / 367)
gday = rdate - gdate_to_rdate(gyear, gmonth, 1) + 1
return gyear, gmonth, gday
#
# Function rdate_to_gyear
#
def rdate_to_gyear(rdate):
r"""Convert RDate format to Gregorian year.
Parameters
----------
rdate : int
RDate date format.
Returns
-------
gyear : int
Gregorian year.
"""
d0 = rdate - 1
n400 = math.floor(d0 / 146097)
d1 = d0 % 146097
n100 = math.floor(d1 / 36524)
d2 = d1 % 36524
n4 = math.floor(d2 / 1461)
d3 = d2 % 1461
n1 = math.floor(d3 / 365)
theyear = 400 * n400 + 100 * n100 + 4 * n4 + n1
if n100 == 4 or n1 == 4:
gyear = theyear
else:
gyear = theyear + 1
return gyear
#
# Function set_events
#
def set_events(n, k, gyear, gday):
r"""Define monthly events for a given year.
Parameters
----------
n : int
Occurrence of a given day counting in either direction.
k : int
Day of the week.
gyear : int
Gregorian year for the events.
gday : int
Gregorian day representing the first day to consider.
Returns
-------
events : list of RDate (int)
Monthly events in RDate format.
Example
-------
>>> # Options Expiration (Third Friday of every month)
>>> set_events(3, 5, 2017, 1)
"""
events = []
month_range = range(1,13)
for m in month_range:
rdate = nth_kday(n, k, gyear, m, gday)
events.append(rdate)
return events
#
# Function subtract_dates
#
def subtract_dates(gyear1, gmonth1, gday1, gyear2, gmonth2, gday2):
r"""Calculate the difference between two Gregorian dates.
Parameters
----------
gyear1 : int
Gregorian year of first date.
gmonth1 : int
Gregorian month of first date.
gday1 : int
Gregorian day of first date.
gyear2 : int
Gregorian year of successive date.
gmonth2 : int
Gregorian month of successive date.
gday2 : int
Gregorian day of successive date.
Returns
-------
delta_days : int
Difference in days in RDate format.
"""
delta_days = gdate_to_rdate(gyear2, gmonth2, gday2) \
- gdate_to_rdate(gyear1, gmonth1, gday1)
return delta_days
#
# Function thanksgiving_day
#
def thanksgiving_day(gyear):
r"""Get Thanksgiving Day for a given year.
Parameters
----------
gyear : int
Gregorian year.
Returns
-------
tday : int
Thanksgiving Day in RDate format.
"""
tday = nth_kday(4, 4, gyear, 11, 1)
return tday
#
# Holidays
#