Holiday Data

Strata provides a comprehensive holiday calendar system. However, such a system also needs the associated data, specifying which days are holidays. This page details the provided holiday calendars.

Holiday calendars

Each holiday calendar represents a consistent set of weekends and holidays. In most cases they refer to a specific location, however some calendars are location independent.

The intention of providing these calendars is to allow the system to be easily evaluated. When using this library in production, OpenGamma strongly recommends replacing the data provided with data from an external vendor of holiday information.

The holiday dates are based on original research and typically cover 1950 to 2099. Future and past dates are an extrapolations of the known holiday dates.

The default column indicates if that calendar is the default for the currency.

Name Holidays Default Weekends ISDA reference
AUSY Sydney (Australia) holidays AUD Saturday/Sunday  
BRBD Brazil holidays BRL Saturday/Sunday  
CAMO Montreal (Canada) holidays   Saturday/Sunday  
CATO Toronto (Canada) holidays CAD Saturday/Sunday  
CHZU Zurich (Switzerland) holidays CHF Saturday/Sunday  
CZPR Prague (Czech Republic) holidays CZK Saturday/Sunday  
DEFR Frankfurt (Germany) holidays   Saturday/Sunday  
DKCO Copenhagen (Denmark) holidays   Saturday/Sunday  
EUTA TARGET interbank payment (Europe) holidays EUR Saturday/Sunday section 1.8 (2006)
FRPA Paris (France) holidays   Saturday/Sunday  
GBLO London (UK) holidays GBP Saturday/Sunday  
HUBU Budapest (Hungary) holidays HUF Saturday/Sunday  
JPTO Tokyo (Japan) holidays JPY Saturday/Sunday  
MXMC Mexico City (Mexico) holidays MXN Saturday/Sunday  
NOOS Oslo (Norway) holidays NOK Saturday/Sunday  
NYFD Federal Reserve Bank of New York holidays   Saturday/Sunday section 1.9 (2006)
NYSE New York Stock Exchange holidays   Saturday/Sunday section 1.10 (2006)
NZAU Auckland (New Zealand) holidays NZD Saturday/Sunday  
NZWE Wellington (New Zealand) holidays   Saturday/Sunday  
NZBD New Zealand holidays   Saturday/Sunday  
PLWA Warsaw (Poland) holidays PLN Saturday/Sunday  
SEST Stockholm (Sweden) holidays SEK Saturday/Sunday  
USGS United States Government Securities   Saturday/Sunday section 1.11 (2006)
USNY New York (USA) holidays USD Saturday/Sunday  
ZAJO Johannesburg (South Africa) holidays ZAR Saturday/Sunday  
NoHolidays No holiday dates   No weekends  
Sat/Sun No holiday dates   Saturday/Sunday  
Fri/Sat No holiday dates   Friday/Saturday  
Thu/Fri No holiday dates   Thursday/Friday  

Holiday calendars have a constant in HolidayCalendarIds. The identifier can also be created dynamically using HolidayCalendarId.of(name).

Additional Holiday calendars

Some indices refer to calendars where example holiday data is not provided. These do no have a constant in HolidayCalendarIds and cannot be resolved without externally provided holiday data. These are listed below for completeness.

Name Holidays Default
CLSA Santiago (Chile) holidays CLP
CNBE Beijing (China) holidays CNY
COBO Bogota (Colombia) holidays COP
HKHK Hong Kong holidays HKD
INMU Mumbai (India) holidays INR
KRSE Seoul (Republic of Korea) holidays KRW
SGSI Singapore holidays SGD
THBA Bangkok (Thailand) holidays THB
TWTA Taipei (Taiwan) holidays TWD