.cdm-java.6.0.0-dev.82.source-code.cdm-base-datetime-RollConventionEnum.schema.json Maven / Gradle / Ivy
{
"$schema": "http://json-schema.org/draft-04/schema#",
"$anchor": "cdm.base.datetime",
"type": "string",
"title": "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.",
"enum": [
"EOM",
"FRI",
"FRN",
"IMM",
"IMMAUD",
"IMMCAD",
"IMMNZD",
"MON",
"NONE",
"SAT",
"SFE",
"SUN",
"TBILL",
"THU",
"TUE",
"WED",
"1",
"10",
"11",
"12",
"13",
"14",
"15",
"16",
"17",
"18",
"19",
"2",
"20",
"21",
"22",
"23",
"24",
"25",
"26",
"27",
"28",
"29",
"3",
"30",
"4",
"5",
"6",
"7",
"8",
"9"
],
"oneOf": [
{
"enum": [
"EOM"
],
"title": "EOM",
"description": "Rolls on month end dates irrespective of the length of the month and the previous roll day."
},
{
"enum": [
"FRI"
],
"title": "FRI",
"description": "Rolling weekly on a Friday"
},
{
"enum": [
"FRN"
],
"title": "FRN",
"description": "Roll days are determined according to the FRN Convention or Euro-dollar Convention as described in ISDA 2000 definitions."
},
{
"enum": [
"IMM"
],
"title": "IMM",
"description": "IMM Settlement Dates. The third Wednesday of the (delivery) month."
},
{
"enum": [
"IMMAUD"
],
"title": "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."
},
{
"enum": [
"IMMCAD"
],
"title": "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."
},
{
"enum": [
"IMMNZD"
],
"title": "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."
},
{
"enum": [
"MON"
],
"title": "MON",
"description": "Rolling weekly on a Monday."
},
{
"enum": [
"NONE"
],
"title": "NONE",
"description": "The roll convention is not required. For example, in the case of a daily calculation frequency."
},
{
"enum": [
"SAT"
],
"title": "SAT",
"description": "Rolling weekly on a Saturday"
},
{
"enum": [
"SFE"
],
"title": "SFE",
"description": "Sydney Futures Exchange 90-Day Bank Accepted Bill Futures Settlement Dates. The second Friday of the (delivery) month"
},
{
"enum": [
"SUN"
],
"title": "SUN",
"description": "Rolling weekly on a Sunday"
},
{
"enum": [
"TBILL"
],
"title": "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."
},
{
"enum": [
"THU"
],
"title": "THU",
"description": "Rolling weekly on a Thursday"
},
{
"enum": [
"TUE"
],
"title": "TUE",
"description": "Rolling weekly on a Tuesday"
},
{
"enum": [
"WED"
],
"title": "WED",
"description": "Rolling weekly on a Wednesday"
},
{
"enum": [
"1"
],
"title": "_1",
"description": "Rolls on the 1st day of the month."
},
{
"enum": [
"10"
],
"title": "_10",
"description": "Rolls on the 10th day of the month."
},
{
"enum": [
"11"
],
"title": "_11",
"description": "Rolls on the 11th day of the month."
},
{
"enum": [
"12"
],
"title": "_12",
"description": "Rolls on the 12th day of the month."
},
{
"enum": [
"13"
],
"title": "_13",
"description": "Rolls on the 13th day of the month."
},
{
"enum": [
"14"
],
"title": "_14",
"description": "Rolls on the 14th day of the month."
},
{
"enum": [
"15"
],
"title": "_15",
"description": "Rolls on the 15th day of the month."
},
{
"enum": [
"16"
],
"title": "_16",
"description": "Rolls on the 16th day of the month."
},
{
"enum": [
"17"
],
"title": "_17",
"description": "Rolls on the 17th day of the month."
},
{
"enum": [
"18"
],
"title": "_18",
"description": "Rolls on the 18th day of the month."
},
{
"enum": [
"19"
],
"title": "_19",
"description": "Rolls on the 19th day of the month."
},
{
"enum": [
"2"
],
"title": "_2",
"description": "Rolls on the 2nd day of the month."
},
{
"enum": [
"20"
],
"title": "_20",
"description": "Rolls on the 20th day of the month."
},
{
"enum": [
"21"
],
"title": "_21",
"description": "Rolls on the 21st day of the month."
},
{
"enum": [
"22"
],
"title": "_22",
"description": "Rolls on the 22nd day of the month."
},
{
"enum": [
"23"
],
"title": "_23",
"description": "Rolls on the 23rd day of the month."
},
{
"enum": [
"24"
],
"title": "_24",
"description": "Rolls on the 24th day of the month."
},
{
"enum": [
"25"
],
"title": "_25",
"description": "Rolls on the 25th day of the month."
},
{
"enum": [
"26"
],
"title": "_26",
"description": "Rolls on the 26th day of the month."
},
{
"enum": [
"27"
],
"title": "_27",
"description": "Rolls on the 27th day of the month."
},
{
"enum": [
"28"
],
"title": "_28",
"description": "Rolls on the 28th day of the month."
},
{
"enum": [
"29"
],
"title": "_29",
"description": "Rolls on the 29th day of the month."
},
{
"enum": [
"3"
],
"title": "_3",
"description": "Rolls on the 3rd day of the month."
},
{
"enum": [
"30"
],
"title": "_30",
"description": "Rolls on the 30th day of the month."
},
{
"enum": [
"4"
],
"title": "_4",
"description": "Rolls on the 4th day of the month."
},
{
"enum": [
"5"
],
"title": "_5",
"description": "Rolls on the 5th day of the month."
},
{
"enum": [
"6"
],
"title": "_6",
"description": "Rolls on the 6th day of the month."
},
{
"enum": [
"7"
],
"title": "_7",
"description": "Rolls on the 7th day of the month."
},
{
"enum": [
"8"
],
"title": "_8",
"description": "Rolls on the 8th day of the month."
},
{
"enum": [
"9"
],
"title": "_9",
"description": "Rolls on the 9th day of the month."
}
]
}
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