element <rollConvention> (local)

Namespace: | http://www.fpml.org/FpML-5/reporting
Type: | RollConventionEnum
Content: | simple
Defined: | locally witnin PeriodicPayment complexType in fpml-cd-5-3.xsd; see XML source

Content Model Diagram

XML Representation Summary
<rollConvention>
| Content: | { enumeration of xsd:token }
</rollConvention>

Simple Content Detail:

Enumeration: |
"EOM" | - | Rolls on month end dates irrespective of the length of the month and the previous roll day. See: http://www.FpML.org
"FRN" | - | Roll days are determined according to the FRN Convention or Eurodollar Convention as described in ISDA 2000 definitions. See: http://www.FpML.org
"IMM" | - | IMM Settlement Dates. The third Wednesday of the (delivery) month. See: http://www.FpML.org
"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. See: http://www.FpML.org
"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 month. See: http://www.FpML.org
"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. See: http://www.FpML.org
"SFE" | - | Sydney Futures Exchange 90-Day Bank Accepted Bill Futures Settlement Dates. The second Friday of the (delivery) month. See: http://www.sfe.com.au
"NONE" | - | The roll convention is not required. For example, in the case of a daily calculation frequency. See: http://www.FpML.org
"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. See: http://www.publicdebt.treas.gov
"1" | - | Rolls on the 1st day of the month. See: http://www.FpML.org
"2" | - | Rolls on the 2nd day of the month. See: http://www.FpML.org
"3" | - | Rolls on the 3rd day of the month. See: http://www.FpML.org
"4" | - | Rolls on the 4th day of the month. See: http://www.FpML.org
"5" | - | Rolls on the 4th day of the month. See: http://www.FpML.org
"6" | - | Rolls on the 6th day of the month. See: http://www.FpML.org
"7" | - | Rolls on the 7th day of the month. See: http://www.FpML.org
"8" | - | Rolls on the 8th day of the month. See: http://www.FpML.org
"9" | - | Rolls on the 9th day of the month. See: http://www.FpML.org
"10" | - | Rolls on the 10th day of the month. See: http://www.FpML.org
"11" | - | Rolls on the 11th day of the month. See: http://www.FpML.org
"12" | - | Rolls on the 12th day of the month. See: http://www.FpML.org
"13" | - | Rolls on the 13th day of the month. See: http://www.FpML.org
"14" | - | Rolls on the 14th day of the month. See: http://www.FpML.org
"15" | - | Rolls on the 15th day of the month. See: http://www.FpML.org
"16" | - | Rolls on the 16th day of the month. See: http://www.FpML.org
"17" | - | Rolls on the 17th day of the month. See: http://www.FpML.org
"18" | - | Rolls on the 18th day of the month. See: http://www.FpML.org
"19" | - | Rolls on the 19th day of the month. See: http://www.FpML.org
"20" | - | Rolls on the 20th day of the month. See: http://www.FpML.org
"21" | - | Rolls on the 21st day of the month. See: http://www.FpML.org
"22" | - | Rolls on the 22nd day of the month. See: http://www.FpML.org
"23" | - | Rolls on the 23rd day of the month. See: http://www.FpML.org
"24" | - | Rolls on the 24th day of the month. See: http://www.FpML.org
"25" | - | Rolls on the 25th day of the month. See: http://www.FpML.org
"26" | - | Rolls on the 26th day of the month. See: http://www.FpML.org
"27" | - | Rolls on the 27th day of the month. See: http://www.FpML.org
"28" | - | Rolls on the 28th day of the month. See: http://www.FpML.org
"29" | - | Rolls on the 29th day of the month. See: http://www.FpML.org
"30" | - | Rolls on the 30th day of the month. See: http://www.FpML.org
"MON" | - | Rolling weekly on a Monday. See: http://www.FpML.org
"TUE" | - | Rolling weekly on a Tuesday. See: http://www.FpML.org
"WED" | - | Rolling weekly on a Wednesday. See: http://www.FpML.org
"THU" | - | Rolling weekly on a Thursday. See: http://www.FpML.org
"FRI" | - | Rolling weekly on a Friday. See: http://www.FpML.org
"SAT" | - | Rolling weekly on a Saturday. See: http://www.FpML.org
"SUN" | - | Rolling weekly on a Sunday. See: http://www.FpML.org

Included in content model of elements (1):

  periodicPayment

Annotation
Used in conjunction with the effectiveDate, scheduledTerminationDate, firstPaymentDate, lastRegularPaymentDate and paymentFrequency to determine the regular fixed rate payer payment dates.
XML Source (w/o annotations (1); see within schema source)

<xsd:element minOccurs="0" name="rollConvention" type="RollConventionEnum"/>

XML schema documentation generated with DocFlex/XML 1.8.6b2 using DocFlex/XML XSDDoc 2.5.1 template set. All content model diagrams generated by Altova XMLSpy via DocFlex/XML XMLSpy Integration.