Merge pull request #12 from lungben/multiple_joint_calendars

Multiple joint calendars

Author: pazzo83

src/time/BusinessCalendar.jl

@@ -17,6 +17,20 @@ mutable struct JointCalendar{B <: BusinessCalendar, C <: BusinessCalendar} <: Bu
   cal2::C
 end
 
+"""
+support more than 2 calendars for joint calendar
+"""
+function JointCalendar(cals...)
+	length(cals) >= 2 || error("at least 2 calendars must be specified for JointCalendar")
+    cal = JointCalendar(cals[1], cals[2])
+    if length(cals) > 2
+        for i=3:length(cals)
+            cal = JointCalendar(cal, cals[i])
+        end
+    end
+    return cal
+end
+
 # US Calendars
 abstract type UnitedStatesCalendar <: WesternCalendar end
 

test/curves.jl

@@ -24,3 +24,15 @@ dx = (test_curve_linear.dates[5]-test_curve_linear.dates[4]).value
 dy = (test_curve_linear.data[5]) - (test_curve_linear.data[4])
 df_recalc = ((test_curve_linear.data[4]) + x1*dy/dx)
 @test disc_factor == df_recalc
+
+# test joint calendars
+const calendar_nyc = QuantLib.Time.USNYSECalendar()
+const calendar_target = QuantLib.Time.TargetCalendar()
+const calendar_lon = QuantLib.Time.UKLSECalendar()
+
+calendar_nyc_target = QuantLib.Time.JointCalendar(calendar_nyc, calendar_target) # standard constructor
+@test calendar_nyc_target isa QuantLib.Time.BusinessCalendar
+calendar_nyc_target_lon = QuantLib.Time.JointCalendar(calendar_nyc, calendar_target, calendar_lon) # new constructor
+@test calendar_nyc_target_lon isa QuantLib.Time.BusinessCalendar
+# at least 2 calendars must be specified for JointCalendar
+@test_throws ErrorException QuantLib.Time.JointCalendar(calendar_nyc)