BOOK: add calendars NB (#685)

notebooks/coding_2/Calendars.ipynb

@@ -0,0 +1,248 @@
+{
+ "cells": [
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "2362d250-6e1f-43d3-a853-4e53db61ef19",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "from rateslib import *"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "id": "7c691656-ba4f-4278-8849-a75fc13b83f8",
+   "metadata": {},
+   "source": [
+    "# Timings\n",
+    "\n",
+    "Get a calendar straight from a hash table."
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "0d8d2453-d45d-44a1-9794-31f9315f2de4",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "%timeit get_calendar(\"ldn\")"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "id": "09dcad09-c185-48c3-9773-818f3af0d5db",
+   "metadata": {},
+   "source": [
+    "Construct a ``Cal`` directly from a list of holidays and week mask."
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "375dc5c5-afbb-43a4-bd45-abb989ce3057",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "cal = get_calendar(\"ldn\")\n",
+    "holidays = cal.holidays\n",
+    "%timeit Cal(holidays=holidays, week_mask=[5,6])"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "id": "e17cff9e-1685-491c-8b68-d43a5bd6f6d4",
+   "metadata": {},
+   "source": [
+    "Get a ``NamedCal`` parsed in Rust and converted to Python."
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "9096fea1-5cf6-4866-8f2d-2f549092be48",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "%timeit get_calendar(\"ldn,tgt\", named=True)"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "id": "3a855b69-5996-41f0-af6a-98130274030b",
+   "metadata": {},
+   "source": [
+    "Get a ``NamedCal`` parsed and constructed in Python."
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "5ca011bc-fcef-4e06-861c-8342693bfcb5",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "%timeit get_calendar(\"ldn,tgt\", named=False)"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "id": "359e90af-641f-4753-a031-105a5fe0d54e",
+   "metadata": {},
+   "source": [
+    "Construct a ``UnionCal`` directly from multiple ``Cal``."
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "07ef7035-3406-4f6f-91fe-5232599ee91c",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "c1 = Cal(holidays=get_calendar(\"ldn\", named=False).holidays, week_mask=[5,6])\n",
+    "c2 = Cal(holidays=get_calendar(\"tgt\", named=False).holidays, week_mask=[5,6])\n",
+    "\n",
+    "%timeit UnionCal([c1, c2])"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "id": "ad0bd111-3c5d-4f93-a097-ecdf3cdb6090",
+   "metadata": {},
+   "source": [
+    "Add a new calendar to ``defaults.calendars`` and fetch that directly."
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "3db567be-5110-41e5-a36e-c8a7c8fd9445",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "defaults.calendars[\"ldn,tgt\"] = get_calendar(\"ldn,tgt\")"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "e1a030ff-3403-4b5d-a271-7154c62e5597",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "%timeit get_calendar(\"ldn,tgt\")"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "id": "97dd17e2-5b84-4a9c-ba5d-017ba5815ee2",
+   "metadata": {},
+   "source": [
+    "# Tenor Manipulations"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "c1afb68c-f364-47cb-8818-63736ec0a911",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "add_tenor(dt(2001, 9, 28), \"-6m\", modifier=\"MF\", calendar=\"LDN\")"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "993f5d28-6945-44ea-a83d-d7a66a80256f",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "add_tenor(dt(2001, 9, 28), \"-6m\", modifier=\"MF\", calendar=\"LDN\", roll=31)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "8bcddb24-17ab-46ca-a8c1-77c6e4fe2ac8",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "add_tenor(dt(2001, 9, 28), \"-6m\", modifier=\"MF\", calendar=\"LDN\", roll=29)"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "id": "32a400ca-6e1c-4f0d-880f-bf256e6ce776",
+   "metadata": {},
+   "source": [
+    "# Associated Settlement Calendars"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "f38317db-2936-496e-a29e-3a7a5fcaa6b2",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "tgt_and_nyc = get_calendar(\"tgt,nyc\")\n",
+    "tgt_and_nyc.add_bus_days(dt(2009, 11, 10), 2, True)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "adc402b7-de57-4bc8-afb0-652a61c150d9",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "tgt_plus_nyc_settle = get_calendar(\"tgt|nyc\")\n",
+    "tgt_plus_nyc_settle.add_bus_days(dt(2009, 11, 10), 2, True)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "79f4e7e4-c5ed-4d1e-ad55-669838a1b2ff",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "tgt_plus_nyc_settle.add_bus_days(dt(2009, 11, 10), 1, settlement=True)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "90585e34-914d-4292-a6e8-9d146ba432de",
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "tgt_plus_nyc_settle.add_bus_days(dt(2009, 11, 10), 1, settlement=False)"
+   ]
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3 (ipykernel)",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.12.4"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 5
+}