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