TagField NameAbbr nameData TypeUnion DatatypeDescriptionPedigree
40922DateRollConventionRollString

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.


DateRollConventionCodeSet
1=

1st day of the month

Added EP161 [FirstDay]
2=

2nd day of the month

Added EP161 [SecondDay]
3=

3rd day of the month

Added EP161 [ThirdDay]
4=

4th day of the month

Added EP161 [FourthDay]
5=

5th day of the month

Added EP161 [FifthDay]
6=

6thd day of the month

Added EP161 [SixthDay]
7=

7th day of the month

Added EP161 [SeventhDay]
8=

8th day of the month

Added EP161 [EighthDay]
9=

9th day of the month

Added EP161 [NinthDay]
10=

10th day of the month

Added EP161 [TenthDay]
11=

11th day of the month

Added EP161 [EleventhDay]
12=

12th day of the month

Added EP161 [TwelvthDay]
13=

13th day of the month

Added EP161 [ThirteenthDay]
14=

14th day of the month

Added EP161 [ForteenthDay]
15=

15th day of the month

Added EP161 [FifteenthDay]
16=

16th day of the month

Added EP161 [SixteenthDay]
17=

17th day of the month

Added EP161 [SeventeenthDay]
18=

18th day of the month

Added EP161 [EighteenthDay]
19=

19th day of the month

Added EP161 [NineteenthDay]
20=

20th day of the month

Added EP161 [TwentiethDay]
21=

21st day of the month

Added EP161 [TwentyFirstDay]
22=

22nd day of the month

Added EP161 [TwentySecondDay]
23=

23rd day of the month

Added EP161 [TwentyThirdDay]
24=

24th day of the month

Added EP161 [TwentyFourthDay]
25=

25th day of the month

Added EP161 [TwentyFifthDay]
26=

26th day of the month

Added EP161 [TwentySixthDay]
27=

27th day of the month

Added EP161 [TwentySeventhDay]
28=

28th day of the month

Added EP161 [TwentyEigthDa28y]
29=

29th day of the month

Added EP161 [TwentyNinthDay]
30=

30th day of the month

Added EP161 [ThirtiethDay]
EOM=

The end of the month.

Use EOM for 31st day of the month.

Added EP161 [EOM]
FRN=

The floating rate note convention or Eurodollar convention.

Added EP161 [FRN]
IMM=

The International Money Market settlement date, i.e. the 3rd Wednesday of the month.

Added EP161 [IMM]
IMMCAD=

The last trading day/expiration day of the Canadian Derivatives Exchange.

Added EP161 [IMMCAD]
IMMAUD=

The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.

Added EP161 [IMMAUD]
IMMNZD=

The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.

Added EP161 [IMMNZD]
SFE=

The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.

Added EP161 [SFE]
NONE=

No adjustment

Added EP161 [NONE]
TBILL=

The 13-week and 26-week U.S. Treasury Bill auction dates.

Added EP161 [TBILL]
MON=

Monday

Added EP161 [MON]
TUE=

Tuesday

Added EP161 [TUE]
WED=

Wednesday

Added EP161 [WED]
THU=

Thursday

Added EP161 [THU]
FRI=

Friday

Added EP161 [FRI]
SAT=

Saturday

Added EP161 [SAT]
SUN=

Sunday

Added EP161 [SUN]
Added EP161

Used in components:
[DateAdjustment]