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Add missing market calendars #200

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f5d37a5
Add missing market calendars
m-muecke Jul 23, 2026
9d6df6d
Accept :: alias spellings for remaining calendars
m-muecke Jul 23, 2026
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8 changes: 8 additions & 0 deletions ChangeLog
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Original file line number Diff line number Diff line change
@@ -1,3 +1,11 @@
2026-07-23 Maximilian Muecke <muecke.maximilian@gmail.com>

* R/calendars.R, src/calendars.cpp: Add missing market calendars for
Indonesia, Poland, Romania, and Russia
* src/calendars.cpp: Remove an unreachable duplicate Null calendar branch
* src/calendars.cpp: Accept '::' alias spellings for Israel, Japan,
NewZealand, SouthKorea, and UnitedKingdom market calendars

2026-07-22 Maximilian Muecke <muecke.maximilian@gmail.com>

* R/implied.R (AmericanOptionImpliedVolatility.default): Assign the
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6 changes: 6 additions & 0 deletions R/calendars.R
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Expand Up @@ -57,6 +57,8 @@ calendars <- c("TARGET",
"Iceland",
"India",
"Indonesia",
"Indonesia/BEJ",
"Indonesia/JSX",
"Israel",
"Israel/TASE",
"Israel/SHIR",
Expand All @@ -73,8 +75,12 @@ calendars <- c("TARGET",
"Norway",
"Null",
"Poland",
"Poland/WSE",
"Romania",
"Romania/Public",
"Romania/BVB",
"Russia",
"Russia/MOEX",
"SaudiArabia",
"Serbia",
"Singapore",
Expand Down
85 changes: 63 additions & 22 deletions src/calendars.cpp
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Expand Up @@ -152,20 +152,35 @@ QuantLib::ext::shared_ptr<QuantLib::Calendar> getCalendar(const std::string &cal
} else if (calstr == "India") {
pcal.reset(new QuantLib::India());

} else if (calstr == "Indonesia") {
pcal.reset(new QuantLib::Indonesia());
} else if (calstr == "Indonesia" ||
calstr == "Indonesia/IDX" ||
calstr == "Indonesia::IDX") {
pcal.reset(new QuantLib::Indonesia(QuantLib::Indonesia::IDX));
} else if (calstr == "Indonesia/BEJ" ||
calstr == "Indonesia::BEJ") {
pcal.reset(new QuantLib::Indonesia(QuantLib::Indonesia::BEJ));
} else if (calstr == "Indonesia/JSX" ||
calstr == "Indonesia::JSX") {
pcal.reset(new QuantLib::Indonesia(QuantLib::Indonesia::JSX));

#if QL_HEX_VERSION <= 0x014201f0
} else if (calstr == "Israel" || calstr == "Israel/Settlement") {
} else if (calstr == "Israel" ||
calstr == "Israel/Settlement" ||
calstr == "Israel::Settlement") {
pcal.reset(new QuantLib::Israel(QuantLib::Israel::Settlement));
} else if (calstr == "Israel/TASE") {
} else if (calstr == "Israel/TASE" ||
calstr == "Israel::TASE") {
pcal.reset(new QuantLib::Israel(QuantLib::Israel::TASE));
#else
} else if (calstr == "Israel" || calstr == "Israel/TASE") {
} else if (calstr == "Israel" ||
calstr == "Israel/TASE" ||
calstr == "Israel::TASE") {
pcal.reset(new QuantLib::Israel(QuantLib::Israel::TASE));
} else if (calstr == "Israel/SHIR") {
} else if (calstr == "Israel/SHIR" ||
calstr == "Israel::SHIR") {
pcal.reset(new QuantLib::Israel(QuantLib::Israel::SHIR));
} else if (calstr == "Israel/Telbor") {
} else if (calstr == "Israel/Telbor" ||
calstr == "Israel::Telbor") {
pcal.reset(new QuantLib::Israel(QuantLib::Israel::Telbor));
#endif

Expand All @@ -177,7 +192,9 @@ QuantLib::ext::shared_ptr<QuantLib::Calendar> getCalendar(const std::string &cal
calstr == "Italy::Exchange") {
pcal.reset(new QuantLib::Italy(QuantLib::Italy::Exchange));

} else if (calstr == "Japan" || calstr == "Japan/Settlement") {
} else if (calstr == "Japan" ||
calstr == "Japan/Settlement" ||
calstr == "Japan::Settlement") {
pcal.reset(new QuantLib::Japan());

#if QL_HEX_VERSION >= 0x014300f0
Expand All @@ -195,9 +212,11 @@ QuantLib::ext::shared_ptr<QuantLib::Calendar> getCalendar(const std::string &cal

#if QL_HEX_VERSION >= 0x013700f0
} else if (calstr == "NewZealand" ||
calstr == "NewZealand/Wellington") {
calstr == "NewZealand/Wellington" ||
calstr == "NewZealand::Wellington") {
pcal.reset(new QuantLib::NewZealand(QuantLib::NewZealand::Wellington));
} else if (calstr == "NewZealand/Auckland") {
} else if (calstr == "NewZealand/Auckland" ||
calstr == "NewZealand::Auckland") {
pcal.reset(new QuantLib::NewZealand(QuantLib::NewZealand::Auckland));
#else
} else if (calstr == "NewZealand") {
Expand All @@ -217,16 +236,34 @@ QuantLib::ext::shared_ptr<QuantLib::Calendar> getCalendar(const std::string &cal
calstr == "NULL") {
pcal.reset(new QuantLib::NullCalendar());

#if QL_HEX_VERSION >= 0x013600f0
} else if (calstr == "Poland" ||
calstr == "Poland/Settlement" ||
calstr == "Poland::Settlement") {
pcal.reset(new QuantLib::Poland(QuantLib::Poland::Settlement));
} else if (calstr == "Poland/WSE" ||
calstr == "Poland::WSE") {
pcal.reset(new QuantLib::Poland(QuantLib::Poland::WSE));
#else
} else if (calstr == "Poland") {
pcal.reset(new QuantLib::Poland());
#endif

} else if (calstr == "Romania" || calstr == "Romania/Public") {
} else if (calstr == "Romania" ||
calstr == "Romania/Public" ||
calstr == "Romania::Public") {
pcal.reset(new QuantLib::Romania(QuantLib::Romania::Public));
} else if (calstr == "Romania/BVB") {
} else if (calstr == "Romania/BVB" ||
calstr == "Romania::BVB") {
pcal.reset(new QuantLib::Romania(QuantLib::Romania::BVB));

} else if (calstr == "Russia") {
pcal.reset(new QuantLib::Russia());
} else if (calstr == "Russia" ||
calstr == "Russia/Settlement" ||
calstr == "Russia::Settlement") {
pcal.reset(new QuantLib::Russia(QuantLib::Russia::Settlement));
} else if (calstr == "Russia/MOEX" ||
calstr == "Russia::MOEX") {
pcal.reset(new QuantLib::Russia(QuantLib::Russia::MOEX));

} else if (calstr == "SaudiArabia") {
pcal.reset(new QuantLib::SaudiArabia());
Expand All @@ -250,9 +287,12 @@ QuantLib::ext::shared_ptr<QuantLib::Calendar> getCalendar(const std::string &cal
} else if (calstr == "SouthAfrica") {
pcal.reset(new QuantLib::SouthAfrica());

} else if (calstr == "SouthKorea" || calstr == "SouthKorea/Settlement") {
} else if (calstr == "SouthKorea" ||
calstr == "SouthKorea/Settlement" ||
calstr == "SouthKorea::Settlement") {
pcal.reset(new QuantLib::SouthKorea(QuantLib::SouthKorea::Settlement));
} else if (calstr == "SouthKorea/KRX") {
} else if (calstr == "SouthKorea/KRX" ||
calstr == "SouthKorea::KRX") {
pcal.reset(new QuantLib::SouthKorea(QuantLib::SouthKorea::KRX));

} else if (calstr == "Sweden") {
Expand All @@ -273,11 +313,15 @@ QuantLib::ext::shared_ptr<QuantLib::Calendar> getCalendar(const std::string &cal
} else if (calstr == "Ukraine") {
pcal.reset(new QuantLib::Ukraine());

} else if (calstr == "UnitedKingdom" || calstr == "UnitedKingdom/Settlement") {
} else if (calstr == "UnitedKingdom" ||
calstr == "UnitedKingdom/Settlement" ||
calstr == "UnitedKingdom::Settlement") {
pcal.reset(new QuantLib::UnitedKingdom(QuantLib::UnitedKingdom::Settlement));
} else if (calstr == "UnitedKingdom/Exchange") {
} else if (calstr == "UnitedKingdom/Exchange" ||
calstr == "UnitedKingdom::Exchange") {
pcal.reset(new QuantLib::UnitedKingdom(QuantLib::UnitedKingdom::Exchange));
} else if (calstr == "UnitedKingdom/Metals") {
} else if (calstr == "UnitedKingdom/Metals" ||
calstr == "UnitedKingdom::Metals") {
pcal.reset(new QuantLib::UnitedKingdom(QuantLib::UnitedKingdom::Metals));

#if QL_HEX_VERSION >= 0x014300f0
Expand All @@ -288,9 +332,6 @@ QuantLib::ext::shared_ptr<QuantLib::Calendar> getCalendar(const std::string &cal
} else if (calstr == "WeekendsOnly") {
pcal.reset(new QuantLib::WeekendsOnly());

} else if (calstr == "Null" || calstr == "null" || calstr == "NULL") {
pcal.reset(new QuantLib::NullCalendar());

} else {
throw std::invalid_argument("Calendar " + calstr + " not recognised ");
}
Expand Down
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