BusinessDayConventionEnum
Enum CDM 7.2.0The enumerated values to specify the convention for adjusting any relevant date if it would otherwise fall on a day that is not a valid business day.
Values 8
Namespace cdm.base.datetime
Values
8 permitted values.
| Value | Description |
|---|---|
| FOLLOWING | The non-business date will be adjusted to the first following day that is a business day |
| FRN | Per 2000 ISDA Definitions, Section 4.11. FRN Convention; Eurodollar Convention. FRN is included here as a type of business day convention although it does not strictly fall within ISDA's definition of a Business Day Convention and does not conform to the simple definition given above. |
| MODFOLLOWING | The non-business date will be adjusted to the first following day that is a business day unless that day falls in the next calendar month, in which case that date will be the first preceding day that is a business day. |
| PRECEDING | The non-business day will be adjusted to the first preceding day that is a business day. |
| MODPRECEDING | The non-business date will be adjusted to the first preceding day that is a business day unless that day falls in the previous calendar month, in which case that date will be the first following day that us a business day. |
| NEAREST | The non-business date will be adjusted to the nearest day that is a business day - i.e. if the non-business day falls on any day other than a Sunday or a Monday, it will be the first preceding day that is a business day, and will be the first following business day if it falls on a Sunday or a Monday. |
| NONE | The date will not be adjusted if it falls on a day that is not a business day. |
| NotApplicable | The date adjustments conventions are defined elsewhere, so it is not required to specify them here. |
Referenced by
5 types hold a BusinessDayConventionEnum as an attribute.
BusinessDateRangeBusinessDayAdjustmentsFinalCalculationPeriodDateAdjustmentFxFixingDateRelativeDateOffset
Functions
Model functions that produce or consume this type. These are the CDM's own behaviour — the logic a correct implementation has to match.
| Function | Role | Description |
|---|---|---|
| MapBusinessDayConventionEnum | returns | — |
| AdjustDateToBusinessDayConvention | takes | Applies a specific business day convention to a single date if it's a non-business day and adjusts it. Note: Currently, only FOLLOWING, PRECEDING, and MODFOLLOWING conventions are implemented. Other conventions will raise an error indicating they are not yet supported. |
| Create_AdjustPeriodInstruction | takes | This function generates the Instruction Composition step instruction necessary to adjust the unadjusted period, and adding it to the AdjustPeriodInstruction. Supported business day conventions in this version are: {Following, Preceding, ModFollowing}. Other conventions (e.g., ModPreceding, Nearest) are currently out-of-scope. |
| Create_AdjustDateInstruction | takes | This function generates the Instruction Composition step instruction necessary to adjust the unadjusted reset date, and adding it to the AdjustResetDateInstruction. Supported business day conventions in this version are: {Following, Preceding, ModFollowing}. Other conventions (e.g., ModPreceding, Nearest) are currently out-of-scope. |
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