Enum: RollConventionEnum
The enumerated values to specify the period term as part of a periodic schedule, i.e. the calculation period end date within the regular part of the calculation period. The value could be a rule, e.g. IMM Settlement Dates, which is the 3rd Wednesday of the month, or it could be a specific day of the month, such as the first day of the applicable month.
URI: common_domain_model:RollConventionEnum
Permissible Values
| Value | Meaning | Description |
|---|---|---|
| EOM | None | Rolls on month end dates irrespective of the length of the month and the prev... |
| FRN | None | Roll days are determined according to the FRN Convention or Euro-dollar Conve... |
| IMM | None | IMM Settlement Dates |
| IMMCAD | None | The last trading day/expiration day of the Canadian Derivatives Exchange (Bou... |
| IMMAUD | None | The last trading day of the Sydney Futures Exchange 90 Day Bank Accepted Bill... |
| IMMNZD | None | The last trading day of the Sydney Futures Exchange NZ 90 Day Bank Bill Futur... |
| SFE | None | Sydney Futures Exchange 90-Day Bank Accepted Bill Futures Settlement Dates |
| NONE | None | The roll convention is not required |
| TBILL | None | 13-week and 26-week U |
| _1 | None | Rolls on the 1st day of the month |
| _2 | None | Rolls on the 2nd day of the month |
| _3 | None | Rolls on the 3rd day of the month |
| _4 | None | Rolls on the 4th day of the month |
| _5 | None | Rolls on the 5th day of the month |
| _6 | None | Rolls on the 6th day of the month |
| _7 | None | Rolls on the 7th day of the month |
| _8 | None | Rolls on the 8th day of the month |
| _9 | None | Rolls on the 9th day of the month |
| _10 | None | Rolls on the 10th day of the month |
| _11 | None | Rolls on the 11th day of the month |
| _12 | None | Rolls on the 12th day of the month |
| _13 | None | Rolls on the 13th day of the month |
| _14 | None | Rolls on the 14th day of the month |
| _15 | None | Rolls on the 15th day of the month |
| _16 | None | Rolls on the 16th day of the month |
| _17 | None | Rolls on the 17th day of the month |
| _18 | None | Rolls on the 18th day of the month |
| _19 | None | Rolls on the 19th day of the month |
| _20 | None | Rolls on the 20th day of the month |
| _21 | None | Rolls on the 21st day of the month |
| _22 | None | Rolls on the 22nd day of the month |
| _23 | None | Rolls on the 23rd day of the month |
| _24 | None | Rolls on the 24th day of the month |
| _25 | None | Rolls on the 25th day of the month |
| _26 | None | Rolls on the 26th day of the month |
| _27 | None | Rolls on the 27th day of the month |
| _28 | None | Rolls on the 28th day of the month |
| _29 | None | Rolls on the 29th day of the month |
| _30 | None | Rolls on the 30th day of the month |
| MON | None | Rolling weekly on a Monday |
| TUE | None | Rolling weekly on a Tuesday |
| WED | None | Rolling weekly on a Wednesday |
| THU | None | Rolling weekly on a Thursday |
| FRI | None | Rolling weekly on a Friday |
| SAT | None | Rolling weekly on a Saturday |
| SUN | None | Rolling weekly on a Sunday |
Slots
| Name | Description |
|---|---|
| rollConvention | The roll convention specifies the period term as part of a periodic schedule,... |
Identifier and Mapping Information
Schema Source
- from schema: https://w3id.org/lmodel/common-domain-model
LinkML Source
name: RollConventionEnum
description: The enumerated values to specify the period term as part of a periodic
schedule, i.e. the calculation period end date within the regular part of the calculation
period. The value could be a rule, e.g. IMM Settlement Dates, which is the 3rd Wednesday
of the month, or it could be a specific day of the month, such as the first day
of the applicable month.
from_schema: https://w3id.org/lmodel/common-domain-model
rank: 1000
permissible_values:
EOM:
text: EOM
description: Rolls on month end dates irrespective of the length of the month
and the previous roll day.
FRN:
text: FRN
description: Roll days are determined according to the FRN Convention or Euro-dollar
Convention as described in ISDA 2000 definitions.
IMM:
text: IMM
description: IMM Settlement Dates. The third Wednesday of the (delivery) month.
IMMCAD:
text: IMMCAD
description: The last trading day/expiration day of the Canadian Derivatives Exchange
(Bourse de Montreal Inc) Three-month Canadian Bankers' Acceptance Futures (Ticker
Symbol BAX). The second London banking day prior to the third Wednesday of the
contract month. If the determined day is a Bourse or bank holiday in Montreal
or Toronto, the last trading day shall be the previous bank business day. Per
Canadian Derivatives Exchange BAX contract specification.
IMMAUD:
text: IMMAUD
description: The last trading day of the Sydney Futures Exchange 90 Day Bank Accepted
Bills Futures contract (see http://www.sfe.com.au/content/sfe/trading/con_specs.pdf).
One Sydney business day preceding the second Friday of the relevant settlement.
IMMNZD:
text: IMMNZD
description: The last trading day of the Sydney Futures Exchange NZ 90 Day Bank
Bill Futures contract (see http://www.sfe.com.au/content/sfe/trading/con_specs.pdf).
The first Wednesday after the ninth day of the relevant settlement month.
SFE:
text: SFE
description: Sydney Futures Exchange 90-Day Bank Accepted Bill Futures Settlement
Dates. The second Friday of the (delivery) month
NONE:
text: NONE
description: The roll convention is not required. For example, in the case of
a daily calculation frequency.
TBILL:
text: TBILL
description: 13-week and 26-week U.S. Treasury Bill Auction Dates. Each Monday
except for U.S. (New York) holidays when it will occur on a Tuesday.
_1:
text: _1
description: Rolls on the 1st day of the month.
aliases:
- '1'
_2:
text: _2
description: Rolls on the 2nd day of the month.
aliases:
- '2'
_3:
text: _3
description: Rolls on the 3rd day of the month.
aliases:
- '3'
_4:
text: _4
description: Rolls on the 4th day of the month.
aliases:
- '4'
_5:
text: _5
description: Rolls on the 5th day of the month.
aliases:
- '5'
_6:
text: _6
description: Rolls on the 6th day of the month.
aliases:
- '6'
_7:
text: _7
description: Rolls on the 7th day of the month.
aliases:
- '7'
_8:
text: _8
description: Rolls on the 8th day of the month.
aliases:
- '8'
_9:
text: _9
description: Rolls on the 9th day of the month.
aliases:
- '9'
_10:
text: _10
description: Rolls on the 10th day of the month.
aliases:
- '10'
_11:
text: _11
description: Rolls on the 11th day of the month.
aliases:
- '11'
_12:
text: _12
description: Rolls on the 12th day of the month.
aliases:
- '12'
_13:
text: _13
description: Rolls on the 13th day of the month.
aliases:
- '13'
_14:
text: _14
description: Rolls on the 14th day of the month.
aliases:
- '14'
_15:
text: _15
description: Rolls on the 15th day of the month.
aliases:
- '15'
_16:
text: _16
description: Rolls on the 16th day of the month.
aliases:
- '16'
_17:
text: _17
description: Rolls on the 17th day of the month.
aliases:
- '17'
_18:
text: _18
description: Rolls on the 18th day of the month.
aliases:
- '18'
_19:
text: _19
description: Rolls on the 19th day of the month.
aliases:
- '19'
_20:
text: _20
description: Rolls on the 20th day of the month.
aliases:
- '20'
_21:
text: _21
description: Rolls on the 21st day of the month.
aliases:
- '21'
_22:
text: _22
description: Rolls on the 22nd day of the month.
aliases:
- '22'
_23:
text: _23
description: Rolls on the 23rd day of the month.
aliases:
- '23'
_24:
text: _24
description: Rolls on the 24th day of the month.
aliases:
- '24'
_25:
text: _25
description: Rolls on the 25th day of the month.
aliases:
- '25'
_26:
text: _26
description: Rolls on the 26th day of the month.
aliases:
- '26'
_27:
text: _27
description: Rolls on the 27th day of the month.
aliases:
- '27'
_28:
text: _28
description: Rolls on the 28th day of the month.
aliases:
- '28'
_29:
text: _29
description: Rolls on the 29th day of the month.
aliases:
- '29'
_30:
text: _30
description: Rolls on the 30th day of the month.
aliases:
- '30'
MON:
text: MON
description: Rolling weekly on a Monday.
TUE:
text: TUE
description: Rolling weekly on a Tuesday
WED:
text: WED
description: Rolling weekly on a Wednesday
THU:
text: THU
description: Rolling weekly on a Thursday
FRI:
text: FRI
description: Rolling weekly on a Friday
SAT:
text: SAT
description: Rolling weekly on a Saturday
SUN:
text: SUN
description: Rolling weekly on a Sunday