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common-domain-model

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

Section titled “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

Section titled “Slots”
Name Description
rollConvention The roll convention specifies the period term as part of a periodic schedule,…

Identifier and Mapping Information

Section titled “Identifier and Mapping Information”

Schema Source

Section titled “Schema Source”

LinkML Source

Section titled “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