Code Set
DateRollConventionCodeSet
| ID | 40922 |
| Type | String |
| Pedigree | Added EP161 |
The convention for determining a sequence of dates. It is used in conjunction with a specified frequency. The value defined here applies to all adjustable dates in the instrument unless specifically overridden. Additional values may be used by mutual agreement of the counterparties.
| Name | Value | Synopsis | Elaboration | Pedigree |
|---|---|---|---|---|
| FirstDay | 1 | 1st day of the month | Added EP161 | |
| SecondDay | 2 | 2nd day of the month | Added EP161 | |
| ThirdDay | 3 | 3rd day of the month | Added EP161 | |
| FourthDay | 4 | 4th day of the month | Added EP161 | |
| FifthDay | 5 | 5th day of the month | Added EP161 | |
| SixthDay | 6 | 6thd day of the month | Added EP161 | |
| SeventhDay | 7 | 7th day of the month | Added EP161 | |
| EighthDay | 8 | 8th day of the month | Added EP161 | |
| NinthDay | 9 | 9th day of the month | Added EP161 | |
| TenthDay | 10 | 10th day of the month | Added EP161 | |
| EleventhDay | 11 | 11th day of the month | Added EP161 | |
| TwelvthDay | 12 | 12th day of the month | Added EP161 | |
| ThirteenthDay | 13 | 13th day of the month | Added EP161 | |
| ForteenthDay | 14 | 14th day of the month | Added EP161 | |
| FifteenthDay | 15 | 15th day of the month | Added EP161 | |
| SixteenthDay | 16 | 16th day of the month | Added EP161 | |
| SeventeenthDay | 17 | 17th day of the month | Added EP161 | |
| EighteenthDay | 18 | 18th day of the month | Added EP161 | |
| NineteenthDay | 19 | 19th day of the month | Added EP161 | |
| TwentiethDay | 20 | 20th day of the month | Added EP161 | |
| TwentyFirstDay | 21 | 21st day of the month | Added EP161 | |
| TwentySecondDay | 22 | 22nd day of the month | Added EP161 | |
| TwentyThirdDay | 23 | 23rd day of the month | Added EP161 | |
| TwentyFourthDay | 24 | 24th day of the month | Added EP161 | |
| TwentyFifthDay | 25 | 25th day of the month | Added EP161 | |
| TwentySixthDay | 26 | 26th day of the month | Added EP161 | |
| TwentySeventhDay | 27 | 27th day of the month | Added EP161 | |
| TwentyEigthDa28y | 28 | 28th day of the month | Added EP161 | |
| TwentyNinthDay | 29 | 29th day of the month | Added EP161 | |
| ThirtiethDay | 30 | 30th day of the month | Added EP161 | |
| EOM | EOM | The end of the month. | Use EOM for 31st day of the month. | Added EP161 |
| FRN | FRN | The floating rate note convention or Eurodollar convention. | Added EP161 | |
| IMM | IMM | The International Money Market settlement date, i.e. the 3rd Wednesday of the month. | Added EP161 | |
| IMMCAD | IMMCAD | The last trading day/expiration day of the Canadian Derivatives Exchange. | Added EP161 | |
| IMMAUD | IMMAUD | The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract. | Added EP161 | |
| IMMNZD | IMMNZD | The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract. | Added EP161 | |
| SFE | SFE | The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates. | Added EP161 | |
| NONE | NONE | No adjustment | Added EP161 | |
| TBILL | TBILL | The 13-week and 26-week U.S. Treasury Bill auction dates. | Added EP161 | |
| MON | MON | Monday | Added EP161 | |
| TUE | TUE | Tuesday | Added EP161 | |
| WED | WED | Wednesday | Added EP161 | |
| THU | THU | Thursday | Added EP161 | |
| FRI | FRI | Friday | Added EP161 | |
| SAT | SAT | Saturday | Added EP161 | |
| SUN | SUN | Sunday | Added EP161 |
Used in components:
- DateAdjustment
- LegDateAdjustment
- LegOptionExerciseExpiration
- LegPaymentStreamCompoundingDates
- LegPaymentStreamPaymentDates
- LegStreamCalculationPeriodDates
- OptionExerciseExpiration
- PaymentStreamCompoundingDates
- PaymentStreamPaymentDates
- StreamCalculationPeriodDates
- UnderlyingDateAdjustment
- UnderlyingOptionExerciseExpiration
- UnderlyingPaymentStreamCompoundingDates
- UnderlyingPaymentStreamPaymentDates
- UnderlyingStreamCalculationPeriodDates
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