EUREX fixed income calendar

pandas_market_calendars/calendar_registry.py

@@ -14,6 +14,7 @@
 from .calendars.cme_globex_fx import CMEGlobexFXExchangeCalendar
 from .calendars.cme_globex_fixed_income import CMEGlobexFixedIncomeCalendar
 from .calendars.eurex import EUREXExchangeCalendar
+from .calendars.eurex_fixed_income import EUREXFixedIncomeCalendar
 from .calendars.hkex import HKEXExchangeCalendar
 from .calendars.ice import ICEExchangeCalendar
 from .calendars.iex import IEXExchangeCalendar

pandas_market_calendars/calendars/eurex_fixed_income.py

@@ -0,0 +1,99 @@
+from .cme_globex_base import CMEGlobexBaseExchangeCalendar
+
+from datetime import time
+
+from pandas.tseries.holiday import (
+    AbstractHolidayCalendar,
+    EasterMonday,
+    GoodFriday,
+    Holiday,
+)
+from pytz import timezone
+
+from pandas_market_calendars.market_calendar import (
+    FRIDAY,
+    MONDAY,
+    MarketCalendar,
+    THURSDAY,
+    TUESDAY,
+    WEDNESDAY,
+)
+
+
+# New Year's Day
+EUREXNewYearsDay = Holiday(
+    "New Year's Day",
+    month=1,
+    day=1,
+    days_of_week=(MONDAY, TUESDAY, WEDNESDAY, THURSDAY, FRIDAY),
+)
+# Early May bank holiday
+MayBank = Holiday(
+    "Early May Bank Holiday",
+    month=5,
+    day=1,
+    days_of_week=(MONDAY, TUESDAY, WEDNESDAY, THURSDAY, FRIDAY),
+)
+# Christmas Eve
+ChristmasEve = Holiday(
+    "Christmas Eve",
+    month=12,
+    day=24,
+    days_of_week=(MONDAY, TUESDAY, WEDNESDAY, THURSDAY, FRIDAY),
+)
+# Christmas
+Christmas = Holiday(
+    "Christmas",
+    month=12,
+    day=25,
+    days_of_week=(MONDAY, TUESDAY, WEDNESDAY, THURSDAY, FRIDAY),
+)
+# Boxing day
+BoxingDay = Holiday(
+    "Boxing Day",
+    month=12,
+    day=26,
+    days_of_week=(MONDAY, TUESDAY, WEDNESDAY, THURSDAY, FRIDAY),
+)
+# New Year's Eve
+NewYearsEve = Holiday(
+    "New Year's Eve",
+    month=12,
+    day=31,
+    days_of_week=(MONDAY, TUESDAY, WEDNESDAY, THURSDAY, FRIDAY),
+)
+
+class EUREXFixedIncomeCalendar(MarketCalendar):
+    """
+    Trading calendar available here:
+    https://www.eurex.com/resource/blob/3378814/910cf372738890f691bc1bfbccfd3aef/data/tradingcalendar_2023_en.pdf
+    """
+    aliases = ["EUREX Fixed Income"]
+
+    regular_market_times = {
+        "market_open": ((None, time(1, 10)), ("2018-12-10", time(8, 0))),
+        "market_close": ((None, time(22)),),
+    }
+
+    @property
+    def name(self):
+        return "EUREX Fixed Income"
+
+    @property
+    def tz(self):
+        return timezone("Europe/Berlin")
+
+    @property
+    def regular_holidays(self):
+        return AbstractHolidayCalendar(
+            rules=[
+                EUREXNewYearsDay,
+                GoodFriday,
+                EasterMonday,
+                MayBank,
+                ChristmasEve,
+                Christmas,
+                BoxingDay,
+                NewYearsEve,
+            ]
+        )

tests/test_eurex_fixed_income_calendar.py

@@ -0,0 +1,95 @@
+import pandas as pd
+import pytz
+
+from pandas_market_calendars.calendars.eurex_fixed_income import EUREXFixedIncomeCalendar
+
+
+def test_time_zone():
+    assert EUREXFixedIncomeCalendar().tz == pytz.timezone("Europe/Berlin")
+    assert EUREXFixedIncomeCalendar().name == "EUREX Fixed Income"
+
+def _test_year_holiday(year, bad_dates):
+    eurex = EUREXFixedIncomeCalendar()
+    good_dates = eurex.valid_days(f"{year}-01-01", f"{year}-12-31")
+
+    # Make sure holiday dates aren't in the schedule
+    for date in bad_dates:
+        assert pd.Timestamp(date, tz="UTC") not in good_dates
+
+    # Make sure all other weekdays are in the schedule
+    expected_good_dates = [
+        d.strftime("%Y-%m-%d")
+        for d in pd.date_range(f"{year}-01-01", f"{year}-12-31", freq="D")
+        if d.weekday() < 5 and d.strftime("%Y-%m-%d") not in bad_dates
+    ]
+    for date in expected_good_dates:
+        assert pd.Timestamp(date, tz="UTC") in good_dates
+
+def test_2017_holidays():
+    """
+    Eurex is closed for trading and clearing (exercise, settlement and cash)
+    in all derivatives: 14 April, 17 April, 1 May, 25 December, 26 December
+    """
+    bad_dates = ["2017-04-14", "2017-04-17", "2017-05-01", "2017-12-25", "2017-12-26"]
+    _test_year_holiday(2017, bad_dates)
+
+def test_2018_holidays():
+    """
+    Eurex is closed for trading and clearing (exercise, settlement and cash)
+    in all derivatives: 1 January, 30 March, 2 April, 1 May, 25 December, 26 December
+    Eurex is closed for trading in all derivatives: 24 December, 31 December
+    """
+    bad_dates = ["2018-01-01", "2018-03-30", "2018-04-02", "2018-05-01", "2018-12-24", "2018-12-25", "2018-12-26",
+                 "2018-12-31"]
+    _test_year_holiday(2018, bad_dates)
+
+def test_2019_holidays():
+    """
+    Eurex is closed for trading and clearing (exercise, settlement and cash)
+    in all derivatives: 1 January, 19 April, 22 April, 1 May, 25 December, 26 December
+    Eurex is closed for trading in all derivatives: 24 December, 31 December
+    """
+    bad_dates = ["2019-01-01", "2019-04-19", "2019-04-22", "2019-05-01", "2019-12-24", "2019-12-25", "2019-12-26",
+                 "2019-12-31"]
+    _test_year_holiday(2019, bad_dates)
+
+def test_2020_holidays():
+    """
+    Eurex is closed for trading and clearing (exercise, settlement and cash)
+    in all derivatives: 1 January, 10 April, 13 April, 1 May, 25 December
+    Eurex is closed for trading in all derivatives: 24 December, 31 December
+    """
+    bad_dates = ["2020-01-01", "2020-04-10", "2020-04-13", "2020-05-01", "2020-12-24", "2020-12-25", "2020-12-31"]
+    _test_year_holiday(2020, bad_dates)
+
+def test_2021_holidays():
+    """
+    Eurex is closed for trading and clearing (exercise, settlement and cash)
+    in all derivatives: 1 January, 2 April, 5 April
+    Eurex is closed for trading in all derivatives: 24 December, 31 December
+    """
+    bad_dates = ["2021-01-01", "2021-04-02", "2021-04-05", "2021-05-01", "2021-12-24", "2021-12-31"]
+    _test_year_holiday(2021, bad_dates)
+
+
+def test_2022_holidays():
+    """
+    Eurex is closed for trading and clearing (exercise, settlement and cash)
+    in all derivatives: 15 April, 18 April, 26 December
+    """
+    bad_dates = ["2022-04-15", "2022-04-18", "2022-12-26"]
+    _test_year_holiday(2022, bad_dates)
+
+
+def test_2023_holidays():
+    """
+    Eurex is closed for trading and clearing (exercise, settlement and cash)
+    in all derivatives: 7 April, 10 April, 1 May, 25 December, 26 December
+    """
+    bad_dates = ["2023-04-07", "2023-04-10", "2023-05-01", "2023-12-25", "2023-12-26"]
+    _test_year_holiday(2023, bad_dates)
+
+
+def test_2024_holidays():
+    bad_dates = ["2024-01-01", "2024-03-29", "2024-04-01", "2024-05-01", "2024-12-24", "2024-12-25", "2024-12-26", "2024-12-31"]
+    _test_year_holiday(2024, bad_dates)