get_calendar

rateslib.calendars.get_calendar(calendar, kind=False)

Returns a calendar object either from an available set or a user defined input.

Parameters:

• calendar (str, None, or CustomBusinessDay) – If None a blank calendar is returned containing no holidays. If str, then the calendar is returned from pre-calculated values. If a specific user defined calendar this is returned without modification.

• kind (bool) – If True will also return the kind of calculation from “null”, “named”, “custom”.

Return type:

CustomBusinessDay or tuple

Notes

The following named calendars are available and have been back tested against the publication of RFR indexes in the relevant geography.

• “bus”: business days, excluding only weekends.

• “tgt”: Target for Europe’s ESTR.

• “osl”: Oslo for Norway’s NOWA.

• “zur”: Zurich for Switzerland’s SARON.

• “nyc”: New York City for US’s SOFR.

• “ldn”: London for UK’s SONIA.

• “stk”: Stockholm for Sweden’s SWESTR.

• “tro”: Toronto for Canada’s CORRA.

The list of generic holidays applied to these calendars is as follows;

Calendar generic holidays

Holiday	“tgt”	“osl”	“zur”	“nyc”	“ldn”	“stk”	“tro”
New Years Day	X	X	X			X
New Years Day (sun->mon)				X
New Years Day (w/e->mon)					X		X
Berchtoldstag			X
Epiphany						X
Martin Luther King Day				X
President’s / Family Day				X			X
Victoria Day							X
Maundy Thursday		X
Good Friday	X	X	X	X	X	X	X
Easter Monday	X	X	X		X	X
UK Early May Bank Holiday					X
UK Late May Bank Holiday					X
EU / US / CA Labour Day (diff)	X	X	X	X		X	X
US Memorial Day				X
Ascention Day		X	X			X
Whit Monday		X
Midsummer Friday						X
National / Constitution Day (diff)		X	X			X	X
Juneteenth National Day (sun->mon)				X
US Independence Day (sat->fri,sun->mon)				X
Civic Holiday							X
UK Summer Bank Holiday					X
Columbus Day				X
US Veteran’s Day (sun->mon)				X
National Truth							X
US / CA Thanksgiving (diff)				X			X
Remembrance Day							X
Christmas Eve		X				X
Christmas Day	X	X	X			X
Christmas Day (sat,sun->mon)					X		X
Christmas Day (sat->fri,sun->mon)				X
Boxing Day	X	X	X			X
Boxing Day (sun,mon->tue)					X		X
New Year’s Eve						X

Examples

In [1]: gbp_cal = get_calendar("ldn")

In [2]: gbp_cal.calendar.holidays
Out[2]: 
array(['1970-01-01', '1970-03-27', '1970-03-30', ..., '2200-08-25',
       '2200-12-25', '2200-12-26'], dtype='datetime64[D]')

In [3]: dt(2022, 1, 1) + 5 * gbp_cal
Out[3]: Timestamp('2022-01-10 00:00:00')

In [4]: type(gbp_cal)
Out[4]: pandas._libs.tslibs.offsets.CustomBusinessDay

Calendars can be combined from the pre-existing names using comma separation.

In [5]: gbp_and_nyc_cal = get_calendar("ldn,nyc")

In [6]: gbp_and_nyc_cal.calendar.holidays
Out[6]: 
array(['1970-01-01', '1970-02-16', '1970-03-27', ..., '2200-11-27',
       '2200-12-25', '2200-12-26'], dtype='datetime64[D]')