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@@ -1,7 +1,11 @@
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# -*- coding: utf-8 -*-
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from QuantLib import *
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-
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+from bs4 import BeautifulSoup
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+from urllib2 import urlopen, Request
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+from time import strftime
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+import time
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+import traceback
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def cal_implvol(spot, strike, callput, evaldate, exdate, rate, div, vol, premium):
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@@ -71,11 +75,132 @@ def str2qdate(yyyymmdd):
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return Date(int(yyyymmdd[6:8]), months[int(yyyymmdd[4:6])-1 ], int(yyyymmdd[0:4]))
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+def qdate2str(dd):
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+ return '%s%s%s' % (dd.ISO()[0:4], dd.ISO()[5:7], dd.ISO()[8:10])
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+
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+
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def str2qopt_type(callput):
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if callput.upper() == 'C':
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return Option.Call
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return Option.Put
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+
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+
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+def get_hk_holidays(year):
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+ month_names = {'January' : 1,
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+ 'February': 2,
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+ 'March': 3,
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+ 'April': 4,
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+ 'May': 5,
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+ 'June': 6,
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+ 'July': 7,
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+ 'August': 8,
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+ 'September': 9,
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+ 'October': 10,
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+ 'November': 11,
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+ 'December': 12,
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+ }
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+ try:
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+ url = 'http://www.gov.hk/en/about/abouthk/holiday/{{year}}.htm'
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+ url = url.replace('{{year}}', str(year))
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+
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+
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+ headers = { 'User-Agent' : 'Mozilla/5.0' }
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+ req = Request(url, None, headers)
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+ html = urlopen(req).read()
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+
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+
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+
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+
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+
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+ soup = BeautifulSoup(html, 'html5lib')
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+
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+ tds = soup.findAll('h3')[0].parent.findAll('td', 'date')
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+
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+ d1 = map(lambda x: (int(x.text.split(' ')[0]), x.text.split(' ')[1]), tds[1:])
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+ holidays = map(lambda x: '%d%02d%02d' % (year, int(month_names[x[1]]), int(x[0]) ), d1)
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+ #return map(lambda x: strftime('%Y%m%d', time.strptime('%s %s %s' % (month_names.index(x[1])+1, x[0], year), "%m %d %Y")), d1)
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+ #print d1
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+ print holidays
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+
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+ return holidays
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+
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+ except:
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+ traceback.print_exc()
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+
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+
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+
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+
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+def get_HSI_last_trading_day(holidays, month, year):
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+
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+ cal = HongKong()
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+ map(lambda x: cal.addHoliday(str2qdate(x)), holidays)
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+
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+ def deduce_last_trading_day(ld):
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+
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+ ld = ld - 1
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+ #print '###' + str(ld)
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+ if cal.isHoliday(ld):
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+ return deduce_last_trading_day(ld - 1)
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+ elif not cal.isBusinessDay(ld):
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+ return deduce_last_trading_day(ld - 1)
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+ else:
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+ #print '---' + str(ld)
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+ return ld
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+
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+ return qdate2str(deduce_last_trading_day(Date.endOfMonth(Date(1, month, year))))
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+
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+
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+# QUANTLIB Period class usage:
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+# https://ipythonquant.wordpress.com/2015/04/04/a-brief-introduction-to-the-quantlib-in-python/
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+# check usage below:
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+
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+
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+# def get_HSI_expiry(year):
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+#
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+# month_names = [January,
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+# February,
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+# March,
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+# April,
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+# May,
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+# June,
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+# July,
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+# August,
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+# September,
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+# October,
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+# November,
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+# December,
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+# ]
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+# mm_dd = {}
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+# # load calendar
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+# holidays = ['20160101', '20160208', '20160209', '20160210', '20160325', '20160326', '20160328', '20160404', '20160502', '20160514', '20160609', '20160701', '20160916', '20161001', '20161010', '20161226', '20161227']
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+# chk = HongKong()
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+#
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+#
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+# map(lambda x: chk.addHoliday(Date(int(x[6:8]), month_names[int(x[4:6])-1], int(x[0:4]))), holidays)
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+#
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+#
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+# #print Date.todaysDate() - 1
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+# #chk.addHoliday(Date(24, December, 2015))
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+# def deduce_last_trading_day(ld):
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+# # ld -=1
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+# ld = ld - 1
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+#
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+# if chk.isHoliday(ld):
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+# return deduce_last_trading_day(ld - 1)
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+# elif not chk.isBusinessDay(ld):
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+# return deduce_last_trading_day(ld - 1)
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+#
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+# print ld
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+# return ld
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+#
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+#
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+#
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+# return map(lambda x: deduce_last_trading_day(Date.endOfMonth(Date(1, x, year) + Period("1m"))), range(1, 12))
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+# #mm_dd = deduce_last_trading_day(Date.endOfMonth(Date.todaysDate()))
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+# #return mm_dd
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+
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+
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if __name__ == '__main__':
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@@ -145,15 +270,38 @@ if __name__ == '__main__':
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#print ''.join ('%s=%0.4f, '%(k,v) for k, v in results.iteritems())
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+#
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+# chk = HongKong()
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+# chk.addHoliday(Date(24, December, 2015))
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+# chk.addHoliday(Date(19, October, 2015))
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+# chk.addHoliday(str2qdate('20151020'))
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+# print chk.isBusinessDay(Date(24, December, 2015))
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+# print chk.isBusinessDay(Date(19, October, 2015))
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+# print chk.isEndOfMonth(Date(29, October, 2015))
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+# print chk.isEndOfMonth(Date(30, October, 2015))
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+# print chk.advance(Date(17, October, 2015), 1, 0)
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+# print chk.advance(Date(17, October, 2015), 1, 1)
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+# print chk.advance(Date(17, October, 2015), 1, 2)
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+ #print get_HSI_expiry(2016)
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+
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+ holidays = get_hk_holidays(2016)
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- chk = HongKong()
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- chk.addHoliday(Date(24, December, 2015))
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- chk.addHoliday(Date(19, October, 2015))
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- chk.addHoliday(str2qdate('20151020'))
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- print chk.isBusinessDay(Date(24, December, 2015))
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- print chk.isBusinessDay(Date(19, October, 2015))
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- print chk.isEndOfMonth(Date(29, October, 2015))
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- print chk.isEndOfMonth(Date(30, October, 2015))
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- print chk.advance(Date(17, October, 2015), 1, 0)
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- print chk.advance(Date(17, October, 2015), 1, 1)
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- print chk.advance(Date(17, October, 2015), 1, 2)
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+
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+
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+ month_names = [January,
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+ February,
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+ March,
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+ April,
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+ May,
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+ June,
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+ July,
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+ August,
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+ September,
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+ October,
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+ November,
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+ December,
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+ ]
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+ for i in month_names:
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+ dd = get_HSI_last_trading_day(holidays, i, 2016)
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+ print dd
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+
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larry