simpleType "RollConventionEnum"

Namespace: | http://www.fpml.org/FpML-5/recordkeeping
Defined: | globally in fpml-enum-5-5.xsd; see XML source
Used: | at 2 locations

Simple Content Model
enumeration of xsd:token

Simple Content Restrictions:

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

All Direct / Indirect Based Elements (2):

  rollConvention (defined in CalculationPeriodFrequency complexType),
  rollConvention (in periodicPayment)

Known Usage Locations

- As direct type of elements (2):
  rollConvention (defined in CalculationPeriodFrequency complexType),
  rollConvention (in periodicPayment)

Annotation
The convention for determining the sequence of calculation period end dates. It is used in conjunction with a specified frequency and the regular period start date of a calculation period, e.g. semi-annual IMM roll dates.
See: http://www.FpML.org
Type Definition Detail

Type Derivation Tree xsd:token (restriction) RollConventionEnum

Derivation: | restriction of xsd:token
Facets: |
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

XML Source (w/o annotations (47); see within schema source)

<xsd:simpleType name="RollConventionEnum"> <xsd:restriction base="xsd:token"> <xsd:enumeration value="EOM"/> <xsd:enumeration value="FRN"/> <xsd:enumeration value="IMM"/> <xsd:enumeration value="IMMCAD"/> <xsd:enumeration value="IMMAUD"/> <xsd:enumeration value="IMMNZD"/> <xsd:enumeration value="SFE"/> <xsd:enumeration value="NONE"/> <xsd:enumeration value="TBILL"/> <xsd:enumeration value="1"/> <xsd:enumeration value="2"/> <xsd:enumeration value="3"/> <xsd:enumeration value="4"/> <xsd:enumeration value="5"/> <xsd:enumeration value="6"/> <xsd:enumeration value="7"/> <xsd:enumeration value="8"/> <xsd:enumeration value="9"/> <xsd:enumeration value="10"/> <xsd:enumeration value="11"/> <xsd:enumeration value="12"/> <xsd:enumeration value="13"/> <xsd:enumeration value="14"/> <xsd:enumeration value="15"/> <xsd:enumeration value="16"/> <xsd:enumeration value="17"/> <xsd:enumeration value="18"/> <xsd:enumeration value="19"/> <xsd:enumeration value="20"/> <xsd:enumeration value="21"/> <xsd:enumeration value="22"/> <xsd:enumeration value="23"/> <xsd:enumeration value="24"/> <xsd:enumeration value="25"/> <xsd:enumeration value="26"/> <xsd:enumeration value="27"/> <xsd:enumeration value="28"/> <xsd:enumeration value="29"/> <xsd:enumeration value="30"/> <xsd:enumeration value="MON"/> <xsd:enumeration value="TUE"/> <xsd:enumeration value="WED"/> <xsd:enumeration value="THU"/> <xsd:enumeration value="FRI"/> <xsd:enumeration value="SAT"/> <xsd:enumeration value="SUN"/> </xsd:restriction> </xsd:simpleType>

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