src.cdm.base.datetime.RollConventionEnum.py Maven / Gradle / Ivy

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from enum import Enum

all = ['RollConventionEnum']
  
class RollConventionEnum(Enum):
  """
  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.
  """
  EOM = "EOM"
  """
  Rolls on month end dates irrespective of the length of the month and the previous roll day.
  """
  FRI = "FRI"
  """
  Rolling weekly on a Friday
  """
  FRN = "FRN"
  """
  Roll days are determined according to the FRN Convention or Euro-dollar Convention as described in ISDA 2000 definitions.
  """
  IMM = "IMM"
  """
  IMM Settlement Dates. The third Wednesday of the (delivery) month.
  """
  IMMAUD = "IMMAUD"
  """
  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.
  """
  IMMCAD = "IMMCAD"
  """
  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.
  """
  IMMNZD = "IMMNZD"
  """
  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.
  """
  MON = "MON"
  """
  Rolling weekly on a Monday.
  """
  NONE = "NONE"
  """
  The roll convention is not required. For example, in the case of a daily calculation frequency.
  """
  SAT = "SAT"
  """
  Rolling weekly on a Saturday
  """
  SFE = "SFE"
  """
  Sydney Futures Exchange 90-Day Bank Accepted Bill Futures Settlement Dates. The second Friday of the (delivery) month
  """
  SUN = "SUN"
  """
  Rolling weekly on a Sunday
  """
  TBILL = "TBILL"
  """
  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.
  """
  THU = "THU"
  """
  Rolling weekly on a Thursday
  """
  TUE = "TUE"
  """
  Rolling weekly on a Tuesday
  """
  WED = "WED"
  """
  Rolling weekly on a Wednesday
  """
  _1 = "1"
  """
  Rolls on the 1st day of the month.
  """
  _10 = "10"
  """
  Rolls on the 10th day of the month.
  """
  _11 = "11"
  """
  Rolls on the 11th day of the month.
  """
  _12 = "12"
  """
  Rolls on the 12th day of the month.
  """
  _13 = "13"
  """
  Rolls on the 13th day of the month.
  """
  _14 = "14"
  """
  Rolls on the 14th day of the month.
  """
  _15 = "15"
  """
  Rolls on the 15th day of the month.
  """
  _16 = "16"
  """
  Rolls on the 16th day of the month.
  """
  _17 = "17"
  """
  Rolls on the 17th day of the month.
  """
  _18 = "18"
  """
  Rolls on the 18th day of the month.
  """
  _19 = "19"
  """
  Rolls on the 19th day of the month.
  """
  _2 = "2"
  """
  Rolls on the 2nd day of the month.
  """
  _20 = "20"
  """
  Rolls on the 20th day of the month.
  """
  _21 = "21"
  """
  Rolls on the 21st day of the month.
  """
  _22 = "22"
  """
  Rolls on the 22nd day of the month.
  """
  _23 = "23"
  """
  Rolls on the 23rd day of the month.
  """
  _24 = "24"
  """
  Rolls on the 24th day of the month.
  """
  _25 = "25"
  """
  Rolls on the 25th day of the month.
  """
  _26 = "26"
  """
  Rolls on the 26th day of the month.
  """
  _27 = "27"
  """
  Rolls on the 27th day of the month.
  """
  _28 = "28"
  """
  Rolls on the 28th day of the month.
  """
  _29 = "29"
  """
  Rolls on the 29th day of the month.
  """
  _3 = "3"
  """
  Rolls on the 3rd day of the month.
  """
  _30 = "30"
  """
  Rolls on the 30th day of the month.
  """
  _4 = "4"
  """
  Rolls on the 4th day of the month.
  """
  _5 = "5"
  """
  Rolls on the 5th day of the month.
  """
  _6 = "6"
  """
  Rolls on the 6th day of the month.
  """
  _7 = "7"
  """
  Rolls on the 7th day of the month.
  """
  _8 = "8"
  """
  Rolls on the 8th day of the month.
  """
  _9 = "9"
  """
  Rolls on the 9th day of the month.
  """