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QuantLib Holiday Calendars Require an Explicit Date Range

Article Quant Q&A · Author: Betabr
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Summary

The discussion asks whether QuantLib can return every holiday currently published for an exchange calendar without specifying start and end dates. The answer says this is not available as a range-free listing, so a user seeking the NYSE holidays would need to choose a date interval and use a holiday-listing function or otherwise set the interval in their workflow.

It also explains why a holiday list can need more context than dates alone. When calendars are combined, a date may be non-business for different reasons in different markets, such as a weekend or a locally observed holiday. The answer describes an alternative calendar tool that would report the reason for each date and the calendar or calendars involved. This is a brief software capability discussion rather than a detailed implementation guide; it gives no code or comparison of calendar coverage, and its examples illustrate the concept rather than documenting QuantLib output.

Key ideas

  • QuantLib’s holiday listing requires a specified start and end date.
  • A script that retrieves holidays must supply a date interval for the calendar query.
  • Combined calendars can mark a date as a holiday for different reasons in different markets.
  • Explaining each holiday’s cause and calendar can be as useful as listing the date itself.

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# Using QuantLib to get all holidays currently published by an exchange in multiyears without specifying a range


# Using QuantLib to get all holidays currently published by an exchange in multiyears without specifying a range












Is there a way to get a list of all the holidays published in an exchange calendar without specifying a date range? For example, NYSE has published their holiday calendar up to 2024 and I want to see if I could get all holidays as published in NYSE calendar without the need to do any updates in the script to arrange the date range. https://www.nyse.com/markets/hours-calendars

If there is no option, I will use the solution provided here: QuantLib-Python: Getting a list of all holidays between D1 & D2 with function "holidayList"

Thank you very much and happy new year! :) Roberta

## Answer by Dimitri Vulis (score 1)

https://quant.stackexchange.com/a/69304

There isn't.

Many years ago I wrote a funcion similar to QL's holidayList in another (proprietery) library. However in addition to listing holidays, mine explained why each date is a holiday. Also a term sheet often references a union of two or more holiday calendars. Something along the lines of:

input:

Holiday calendars: NYB and London

Start date: December 20, 2021

End date: December 30, 2021

Made-up Output:

December 24, 2021 - Christmas Day Observed (NYB)

December 25, 2021 - Saturday (NYB&London), Christmas Day (NYB&London)

December 26, 2021 - Sunday (NYB&London), Boxing Day (London)

December 27, 2021 - Boxing Day Observed (London)

December 28, 2021 - Christmas Day Observed (London)

(Other holiday calendars have St. Stephens Day, Christmas Eve, bridging days, et al in late December. Knowing that a date is a holiday, without the explanation, is just half the story.)

Related question: Quantlib Calendar Advance

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.