GregorianCalendar and Foreign Exchange

Calendars are esential in trading systems. For Foreign Exchange (FX) system in particular, calendars are very important since if a trader is executing an FX currency pair GBP/USD trade, they'll need to know the date of Spot (http://www.fx-forex-trading.com/glossary.htm#S) and other relevant tenors; Spot Next, Spot Week, x Day, x Week, x Month, x Year. Examples of tenors in short hand form are: 1W 3W 3M 1Y.

So what does the above have to do with java.util.GregorianCalendar? Well actually a lot. Since to work out spot for a currency pair, you first need to figure out what the first business day is after the transaction day - the day the trade was executed. A business day is not a weekend, and not a holiday, so for GBP/USD, we need to look at the holidays in both calendars. Assuming today is 9th July 2004, then the next business day would be 12th July 2004, which means that spot will be 13th July 2004 (assuming settlement within 2 business days of the transaction date).

A description of FX value dates can be found here.