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Market Calendars & Conventions

Financial contracts only settle on valid business days. SabiQuant provides high-performance market calendars and standard ISDA business day adjustment rules.

Business Day Conventions

When a scheduled date falls on a weekend or public holiday, it must be adjusted according to a convention:

Convention	Rule
`Following`	Adjust to the first business day after the given date.
`ModifiedFollowing`	Adjust to the first business day after, unless it falls in the next month, in which case roll backward to the preceding business day.
`Preceding`	Adjust to the first business day before the given date.
`ModifiedPreceding`	Adjust to the first business day before, unless it falls in the prior month, in which case roll forward.
`Unadjusted`	Do not adjust; retain original calendar date.

Market Calendars

TARGET Calendar (`TargetCalendar`)

The European interbank settlement calendar (TARGET2 / T2), observing:

Saturdays and Sundays
New Year’s Day (Jan 1)
Good Friday & Easter Monday
Labour Day (May 1)
Christmas Day (Dec 25) & Boxing Day (Dec 26)

Rust Example

use sabiquant::core::{Date, BusinessDayConvention};
use sabiquant::core::calendars::{Calendar, TargetCalendar, WeekendOnlyCalendar};

fn main() -> Result<(), Box<dyn std::error::Error>> {
    let calendar = TargetCalendar::default();

    // May 1st (Labour Day) is a holiday in TARGET
    let labour_day = Date::from_ymd(2025, 5, 1)?;
    println!("Is Labour Day a business day? {}", calendar.is_business_day(labour_day)); // false

    // Adjust using Following
    let adjusted_following = calendar.adjust(labour_day, BusinessDayConvention::Following);
    println!("Following adjustment: {}", adjusted_following); // 2025-05-02

    // Advance 5 business days
    let advanced_date = calendar.advance_business_days(labour_day, 5);
    println!("5 business days later: {}", advanced_date);

    // Count business days between two dates
    let start = Date::from_ymd(2025, 5, 1)?;
    let end   = Date::from_ymd(2025, 5, 31)?;
    let bdays = calendar.business_days_between(start, end);
    println!("Business days in May 2025: {}", bdays);

    Ok(())
}