The convention for determining the sequence of return rate valuation dates. It is used in conjunction with a specified frequency.
| 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] |