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For proper financial FX option pricing I require the exact number of business days between two dates. These dates can be up to 10 years in the future, for 2 different countries. I therefore need to know, in advance the holidays for both of those countries between the two dates. I plan to restrict myself to G20 countries for now.

Anybody know if Python modules exist which have holiday lists included?

Anywhere else to find holiday lists/files?

Jean-François Corbett
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Thomas Browne
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  • Some information here in http://stackoverflow.com/questions/457176/how-do-i-determine-a-public-holiday-in-sql-server Not hugely efficient though. – Thomas Browne Jun 22 '09 at 23:19
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    Within the US, this varies by state and more broadly by region. Massachusetts, for example, has Patriots Day, unique to that state. Regionally, some parts of the US take Good Friday as a holiday, some day the day after Thanksgiving. Since you can't do this for the US, how will you do it for other countries? – S.Lott Jun 23 '09 at 00:09
  • If you are able to use java libraries from python please see: http://jollyday.sourceforge.net – Sven Dec 30 '10 at 23:52
  • [www.goodbusinessday.com](http://www.goodbusinessday.com) Looks like 1000 USD per year though for what I need. Ouch. – Thomas Browne Jun 22 '09 at 23:28
  • Not surprising at all. And, business schedules can vary from company to company. – S.Lott Jun 23 '09 at 00:08
  • You are pricing Options and you are woried about 1000 USD a year? I know times are hard in the Finance industry at the moment, but I didn't realise they had got that bad! – Martin Brown Jun 23 '09 at 09:03
  • 1000 for the bank is peanuts. However as soon as I ask them for the dough, they'll own my code, and it's a PA project. Knowhattameen?? – Thomas Browne Jul 12 '09 at 00:07
  • You can use the webapi of my project https://date.nager.at/swagger/index.html – Tino Hager Mar 05 '19 at 22:10

2 Answers2

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Edit: Updated the link from from novapost's github repo.

I recently came across https://github.com/peopledoc/workalendar. I use it for France and it works like a charm.

"""
>>> from datetime import date
>>> from workalendar.europe import France
>>> cal = France()
>>> cal.holidays(2013)
[(datetime.date(2013, 1, 1), 'New year'),
 (datetime.date(2013, 4, 1), 'Easter Monday'),
 (datetime.date(2013, 5, 1), 'Labour Day'),
 (datetime.date(2013, 5, 8), 'Victory in Europe Day'),
 (datetime.date(2013, 5, 9), 'Ascension Thursday'),
 (datetime.date(2013, 5, 20), 'Whit Monday'),
 (datetime.date(2013, 5, 30), 'Corpus Christi'),
 (datetime.date(2013, 7, 14), 'Bastille Day'),
 (datetime.date(2013, 8, 15), 'Assumption of Mary to Heaven'),
 (datetime.date(2013, 11, 1), 'All Saints Day'),
 (datetime.date(2013, 11, 11), 'Armistice Day'),
 (datetime.date(2013, 12, 25), 'Christmas Day')]
>>> cal.is_working_day(date(2013, 12, 25))  # it's Christmas
False
>>> cal.is_working_day(date(2013, 12, 29))  # it's Sunday
False
>>> cal.is_working_day(date(2013, 12, 26))
True
JamCon
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Andre Miras
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2

www.bank-holidays.com seems cheaper.

However, if you look at the public holiday for banks in England, you see the following (http://www.direct.gov.uk/en/Governmentcitizensandrights/LivingintheUK/DG_073741)

Special bank holidays

There are laws that allow the dates of bank holidays to be changed, or other holidays to be declared, for example to celebrate special occasions.

The most recent examples of special bank holidays were for the Royal Wedding in 1981, the Millennium holiday in 1999 and the Queen’s Golden Jubilee in 2002.

So. It is not possible to predict holiday in the next ten year. One possibility would be to approximate the number of holiday in a given period.

Eolmar
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