Date Rolling Behaviour

'Date Rolling Behaviour' is used for all interest bearing instruments, such as Loan/Deposits, IRS, Bond etc

 in combination with 'Day Count Convention' - and express the Business Day Convention to be used for the interest calculation of all interest bearing instruments, such as Loan/Deposits, IRS, Bonds etc - that have periodic interest calculations. 'Adjust Dates' then stipulates if the above rule should be applied on Payment Date or both Payment and Maturity Date.

The following options available;

Following

If maturity is due on a bank holiday the date is moved forward to the next valid bank day.

ModifiedFollowing

If maturity is due on a bank holiday the date is moved forward to the next valid bank day. But if it is a new month the date is moved back to the first preceding valid bank day.

ModifiedFollowingBiMonthly

Choose the first business day after the given holiday unless that day crosses the mid-month (15th) or the end of a month, in which case choose the first business day before the holiday.

Preceding

Maturity date is moved back to the previous valid bank day.

ModifiedPreceding

If maturity is due on a bank holiday the date is moved back to the previous business day. However, if the previous business day is in a different month, the following business day is adopted instead.

Unadjusted

No adjustment according to bank holidays.