Merge branch 'master' into 'master'

merge from master

Closes QPR-12152 and QPR-12142

See merge request qs/oreswig-github!5

Author: pcaspers

Docker/Dockerfile-ORESWIG-App

@@ -12,7 +12,7 @@ RUN apt-get update \
   && apt-get clean \
   && rm -rf /var/lib/apt/lists/*
 
-RUN pip3 install matplotlib pandas nose nose_xunitmp datacompy jupyter
+RUN pip3 install matplotlib pandas nose nose_xunitmp datacompy jupyter jsondiff xmldiff
 
 WORKDIR /
 RUN mkdir /oreswig

OREAnalytics-SWIG/Python/Examples/Input/caladj.xml

@@ -0,0 +1,10 @@
+<CalendarAdjustments>
+    <Calendar name= "Japan">
+        <AdditionalHolidays>
+            <Date>2020-06-01</Date>
+        </AdditionalHolidays>
+        <AdditionalBusinessDays>
+            <Date>2020-05-05</Date>
+        </AdditionalBusinessDays>
+    </Calendar>
+</CalendarAdjustments>

OREAnalytics-SWIG/Python/Examples/dates.py

@@ -0,0 +1,48 @@
+
+import ORE as ore
+
+startDateString = '2020-05-01'
+calendarString = 'Japan'
+tenorString = '1M'
+businessDayConventionString = 'F'
+calAdjXml = "Input/caladj.xml"
+
+startDate = ore.parseDate(startDateString)
+calendar = ore.parseCalendar(calendarString)
+tenor =  ore.parsePeriod(tenorString)
+bdc = ore.parseBusinessDayConvention(businessDayConventionString)
+endOfMonth = False
+
+## ADVANCE DATE -- pre adjustment
+endDate = calendar.advance(startDate, tenor, bdc, endOfMonth)
+print('---------------------------')
+print("advance start date by", tenorString)
+print("startDate", startDate.to_date())
+print("endDate  ", endDate.to_date())
+
+## EXPLORE QL/ORE JAPAN CALENDAR
+print('---------------------------')
+print('holidays (pre adjustment):')
+holidayList = calendar.holidayList(startDate, endDate)
+for idx in holidayList:
+    print(idx.to_date())
+
+## MAKE USE OF CALENDAR ADJUSTMENT
+## new holiday : 2020-06-01
+## new business day (previously holiday) : 2020-05-05
+calAdj = ore.CalendarAdjustmentConfig()
+calAdj.fromFile(calAdjXml)
+
+print('---------------------------')
+print('holidays (post adjustment):')
+holidayList = calendar.holidayList(startDate, endDate)
+for idx in holidayList:
+    print(idx.to_date())
+
+## ADVANCE DATE -- post adjustment
+endDate = calendar.advance(startDate, tenor, bdc, endOfMonth)
+print('---------------------------')
+print("advance start date by", tenorString)
+print("startDate", startDate.to_date())
+print("endDate  ", endDate.to_date())
+print('---------------------------')

OREData-SWIG/SWIG/ored_calendarAdjustmentConfig.i

@@ -51,7 +51,9 @@ class CalendarAdjustmentConfig {
     const string& getBaseCalendar(const string& calname);
 
     void append(const CalendarAdjustmentConfig& c);
-  
+
+    void fromFile(const std::string& name);
+
 };