Thanks for the reply. I’m still not sure I understand. It looks like the example you provided the period date is rolling on the 10th calendar day of each month subject to the ‘following’ business day convention. So for this month the roll date is simply July 10th. My question is related to a business day rule (e.g. 10th business day based on USNY this month is July 15th and next month the 10th business day based on USNY is Aug 14th and so on) How does FpML handle this ? Do you have to set a business date range that only counts business days from the start of the month? Business date rules are common but I cant seem to find any examples here on this site. Thanks again.
