Business Day Convention
From Open Ideas
Codebook
int cycle = 3; // business day cycle: 3 days IBusinessDayConvention bdc = new BasicBusinessDayConvention(cycle, BusinessDayMethod.FOLLOWING);
The following BusinessDayMethod values have been implemented so far:
- NONE
- FOLLOWING
- MODIFIED_FOLLOWING
- PRECEDING
- MODIFIED_FOLLWING
The BasicBusinessConvention uses the BasicBusinessDayCalendar which states that only weekend days are non-business days. You can change this by using the following lines of code:
[continued...]
Set<IBusinessDayCalendars> calendars = bdc.getBusinessDayCalendars();
calendars.clear(); // clears all business day calendars for efficiency reasons
calendars.put("TARGET", new TargetHolidays());
Instances of class TargetHolidays define weekend days and holidays of the target system as announced by the ECB as non-business days.
