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

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# pylint: disable=missing-module-docstring, invalid-name, line-too-long
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.
    """