Date Rolling Behaviour

Created by Erik Åkerlund, Modified on Wed, 7 Feb at 12:02 PM by Catharina Hansson



'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.




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