Code Set NameData TypeDescriptionPedigree
BusinessDayConventionCodeSetint

The business day convention used for adjusting dates. The value defined here applies to all adjustable dates in the instrument unless specifically overridden.


0=

Not applicable

Business day convention is not applicable.

Added EP161 Updated EP169 [NotApplicable]
1=

None (current day)

Added EP161 Updated EP195 [None]
2=

Following day

The following business day.

Added EP161 Updated EP169 [FollowingDay]
3=

Floating rate note

The FRN business day convention.

Added EP161 Updated EP169 [FloatingRateNote]
4=

Modified following day

The modified following business day.

Added EP161 Updated EP169 [ModifiedFollowingDay]
5=

Preceding day

The preceding business day.

Added EP161 Updated EP169 [PrecedingDay]
6=

Modified preceding day

The modified preceding business day.

Added EP161 Updated EP169 [ModifiedPrecedingDay]
7=

Nearest day

The nearest applicable business day.

Added EP161 Updated EP169 [NearestDay]
Added EP161

Used in fields:
[BusinessDayConvention] [BusinessDayType] [CashSettlDateBusinessDayConvention] [ComplexEventDateBusinessDayConvention] [DividendAccrualPaymeentDateBusinessDayConvention] [DividendFXTriggerDateBusinessDayConvention] [DividendPeriodBusinessDayConvention] [LegBusinessDayConvention] [LegCashSettlDateBusinessDayConvention] [LegComplexEventDateBusinessDayConvention] [LegDividendAccrualPaymentDateBusinessDayConvention] [LegDividendFXTriggerDateBusinessDayConvention] [LegDividendPeriodBusinessDayConvention] [LegOptionExerciseBusinessDayConvention] [LegOptionExerciseExpirationDateBusinessDayConvention] [LegPaymentScheduleFixingDateBusinessDayConvention] [LegPaymentScheduleInterimExchangeDatesBusinessDayConvention] [LegPaymentStreamCompoundingDatesBusinessDayConvention] [LegPaymentStreamFixingDateBusinessDayConvention] [LegPaymentStreamInitialFixingDateBusinessDayConvention] [LegPaymentStreamNonDeliverableFixingDatesBusinessDayConvention] [LegPaymentStreamPaymentDateBusinessDayConvention] [LegPaymentStreamPricingBusinessDayConvention] [LegPaymentStreamResetDateBusinessDayConvention] [LegPaymentStubEndDateBusinessDayConvention] [LegPaymentStubStartDateBusinessDayConvention] [LegPricingDateBusinessDayConvention] [LegProvisionCashSettlPaymentDateBusinessDayConvention] [LegProvisionCashSettlValueDateBusinessDayConvention] [LegProvisionDateBusinessDayConvention] [LegProvisionOptionExerciseBusinessDayConvention] [LegProvisionOptionExpirationDateBusinessDayConvention] [LegProvisionOptionRelevantUnderlyingDateBusinessDayConvention] [LegReturnRateValuationDateBusinessDayConvention] [LegSettlMethodElectionDateBusinessDayConvention] [LegStreamCalculationPeriodBusinessDayConvention] [LegStreamCommoditySettlDateBusinessDayConvention] [LegStreamEffectiveDateBusinessDayConvention] [LegStreamFirstPeriodStartDateBusinessDayConvention] [LegStreamTerminationDateBusinessDayConvention] [OptionExerciseBusinessDayConvention] [OptionExerciseExpirationDateBusinessDayConvention] [PaymentBusinessDayConvention] [PaymentScheduleFixingDateBusinessDayConvention] [PaymentScheduleInterimExchangeDatesBusinessDayConvention] [PaymentStreamCompoundingDatesBusinessDayConvention] [PaymentStreamFixingDateBusinessDayConvention] [PaymentStreamInitialFixingDateBusinessDayConvention] [PaymentStreamNonDeliverableFixingDatesBusinessDayConvention] [PaymentStreamPaymentDateBusinessDayConvention] [PaymentStreamPricingBusinessDayConvention] [PaymentStreamResetDateBusinessDayConvention] [PaymentStubEndDateBusinessDayConvention] [PaymentStubStartDateBusinessDayConvention] [PricingDateBusinessDayConvention] [ProvisionCashSettlPaymentDateBusinessDayConvention] [ProvisionCashSettlValueDateBusinessDayConvention] [ProvisionDateBusinessDayConvention] [ProvisionOptionExerciseBusinessDayConvention] [ProvisionOptionExpirationDateBusinessDayConvention] [ProvisionOptionRelevantUnderlyingDateBusinessDayConvention] [ReturnRateValuationDateBusinessDayConvention] [SettlMethodElectionDateBusinessDayConvention] [StreamCalculationPeriodBusinessDayConvention] [StreamCommoditySettlDateBusinessDayConvention] [StreamEffectiveDateBusinessDayConvention] [StreamFirstPeriodStartDateBusinessDayConvention] [StreamTerminationDateBusinessDayConvention] [UnderlyingBusinessDayConvention] [UnderlyingCashSettlDateBusinessDayConvention] [UnderlyingComplexEventDateBusinessDayConvention] [UnderlyingDividendAccrualPaymentDateBusinessDayConvention] [UnderlyingDividendFXTriggerDateBusinessDayConvention] [UnderlyingDividendPeriodBusinessDayConvention] [UnderlyingOptionExerciseBusinessDayConvention] [UnderlyingOptionExerciseExpirationDateBusinessDayConvention] [UnderlyingPaymentScheduleFixingDateBusinessDayCnvtn] [UnderlyingPaymentScheduleInterimExchangeDatesBusinessDayConvention] [UnderlyingPaymentStreamCompoundingDatesBusinessDayConvention] [UnderlyingPaymentStreamFixingDateBusinessDayConvention] [UnderlyingPaymentStreamInitialFixingDateBusinessDayConvention] [UnderlyingPaymentStreamNonDeliverableFixingDatesBusinessDayConvention] [UnderlyingPaymentStreamPaymentDateBusinessDayConvention] [UnderlyingPaymentStreamPricingBusinessDayConvention] [UnderlyingPaymentStreamResetDateBusinessDayConvention] [UnderlyingPaymentStubEndDateBusinessDayConvention] [UnderlyingPaymentStubStartDateBusinessDayConvention] [UnderlyingPricingDateBusinessDayConvention] [UnderlyingProvisionCashSettlPaymentDateBusinessDayConvention] [UnderlyingProvisionCashSettlValueDateBusinessDayConvention] [UnderlyingProvisionDateBusinessDayConvention] [UnderlyingProvisionOptionExerciseBusinessDayConvention] [UnderlyingProvisionOptionExpirationDateBusinessDayConvention] [UnderlyingProvisionOptionRelevantUnderlyingDateBusinessDayConvention] [UnderlyingReturnRateValuationDateBusinessDayConvention] [UnderlyingSettlMethodElectionDateBusinessDayConvention] [UnderlyingStreamCalculationPeriodBusinessDayConvention] [UnderlyingStreamCommoditySettlDateBusinessDayConvention] [UnderlyingStreamEffectiveDateBusinessDayConvention] [UnderlyingStreamFirstPeriodStartDateBusinessDayConvention] [UnderlyingStreamTerminationDateBusinessDayConvention]