New Brazilian holiday (#1879)

lballabio · Jan 12, 2024 · f094be0 · f094be0
2 parents 32f57d0 + 6909bfc
commit f094be0
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Showing 3 changed files with 7 additions and 1 deletion.
diff --git a/ql/time/calendars/brazil.cpp b/ql/time/calendars/brazil.cpp
@@ -65,6 +65,8 @@ namespace QuantLib {
             || (d == 2 && m == November)
             // Republic Day
             || (d == 15 && m == November)
+            // Black Awareness Day
+            || (d == 20 && m == November && y >= 2024)
             // Christmas
             || (d == 25 && m == December)
             // Passion of Christ

diff --git a/ql/time/calendars/brazil.hpp b/ql/time/calendars/brazil.hpp
@@ -41,6 +41,7 @@ namespace QuantLib {
         <li>Nossa Sra. Aparecida Day, October 12th</li>
         <li>All Souls Day, November 2nd</li>
         <li>Republic Day, November 15th</li>
+        <li>Black Awareness Day, November 20th (since 2024)</li>
         <li>Christmas, December 25th</li>
         <li>Passion of Christ</li>
         <li>Carnival</li>

diff --git a/test-suite/amortizingbond.cpp b/test-suite/amortizingbond.cpp
@@ -159,7 +159,10 @@ BOOST_AUTO_TEST_CASE(testBrazilianAmortizingFixedRateBond) {
         1.38600825, 1.23425366, 1.39521333, 1.06968563,
         1.03950542, 1.00065409, 0.90968563, 0.81871706,
         0.79726493, 0.63678002, 0.57187676, 0.49829046,
-        0.32913418, 0.27290565, 0.19062560, 0.08662552
+        // data changed as source (pentagonotrustee.com.br) does not include newly introduced
+        // "Black Awareness Day" holiday
+        0.31177086,
+                    0.27290565, 0.19062560, 0.08662552
     };
 
     Natural settlementDays = 0;