Description

Type: String

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 leg unless specifically overridden.

Valid values:

  • 1 = 1st day of the month
  • 2 = 2nd day of the month
  • 3 = 3rd day of the month
  • 4 = 4th day of the month
  • 5 = 5th day of the month
  • 6 = 6thd day of the month
  • 7 = 7th day of the month
  • 8 = 8th day of the month
  • 9 = 9th day of the month
  • 10 = 10th day of the month
  • 11 = 11th day of the month
  • 12 = 12th day of the month
  • 13 = 13th day of the month
  • 14 = 14th day of the month
  • 15 = 15th day of the month
  • 16 = 16th day of the month
  • 17 = 17th day of the month
  • 18 = 18th day of the month
  • 19 = 19th day of the month
  • 20 = 20th day of the month
  • 21 = 21st day of the month
  • 22 = 22nd day of the month
  • 23 = 23rd day of the month
  • 24 = 24th day of the month
  • 25 = 25th day of the month
  • 26 = 26th day of the month
  • 27 = 27th day of the month
  • 28 = 28th day of the month
  • 29 = 29th day of the month
  • 30 = 30th day of the month
  • EOM = The end of the month.

    Use EOM for 31st day of the month.

  • FRN = The floating rate note convention or Eurodollar convention.
  • IMM = The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
  • IMMCAD = The last trading day/expiration day of the Canadian Derivatives Exchange.
  • IMMAUD = The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
  • IMMNZD = The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
  • SFE = The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
  • NONE = No adjustment
  • TBILL = The 13-week and 26-week U.S. Treasury Bill auction dates.
  • MON = Monday
  • TUE = Tuesday
  • WED = Wednesday
  • THU = Thursday
  • FRI = Friday
  • SAT = Saturday
  • SUN = Sunday

Used In