simpleType "RollConventionEnum"

Namespace:	http://www.fpml.org/FpML-5/confirmation
Defined:	globally in fpml-enum-5-8.xsd; see XML source
Used:	at 3 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.
"FRN"	-	Roll days are determined according to the FRN Convention or Eurodollar Convention as described in ISDA 2000 definitions.
"IMM"	-	IMM Settlement Dates. The third Wednesday of the (delivery) month.
"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.
"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.
"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.
"SFE"	-	Sydney Futures Exchange 90-Day Bank Accepted Bill Futures Settlement Dates. The second Friday of the (delivery) month.
"NONE"	-	The roll convention is not required. For example, in the case of a daily calculation frequency.
"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.
"1"	-	Rolls on the 1st day of the month.
"2"	-	Rolls on the 2nd day of the month.
"3"	-	Rolls on the 3rd day of the month.
"4"	-	Rolls on the 4th day of the month.
"5"	-	Rolls on the 4th day of the month.
"6"	-	Rolls on the 6th day of the month.
"7"	-	Rolls on the 7th day of the month.
"8"	-	Rolls on the 8th day of the month.
"9"	-	Rolls on the 9th day of the month.
"10"	-	Rolls on the 10th day of the month.
"11"	-	Rolls on the 11th day of the month.
"12"	-	Rolls on the 12th day of the month.
"13"	-	Rolls on the 13th day of the month.
"14"	-	Rolls on the 14th day of the month.
"15"	-	Rolls on the 15th day of the month.
"16"	-	Rolls on the 16th day of the month.
"17"	-	Rolls on the 17th day of the month.
"18"	-	Rolls on the 18th day of the month.
"19"	-	Rolls on the 19th day of the month.
"20"	-	Rolls on the 20th day of the month.
"21"	-	Rolls on the 21st day of the month.
"22"	-	Rolls on the 22nd day of the month.
"23"	-	Rolls on the 23rd day of the month.
"24"	-	Rolls on the 24th day of the month.
"25"	-	Rolls on the 25th day of the month.
"26"	-	Rolls on the 26th day of the month.
"27"	-	Rolls on the 27th day of the month.
"28"	-	Rolls on the 28th day of the month.
"29"	-	Rolls on the 29th day of the month.
"30"	-	Rolls on the 30th day of the month.
"MON"	-	Rolling weekly on a Monday.
"TUE"	-	Rolling weekly on a Tuesday.
"WED"	-	Rolling weekly on a Wednesday.
"THU"	-	Rolling weekly on a Thursday.
"FRI"	-	Rolling weekly on a Friday.
"SAT"	-	Rolling weekly on a Saturday.
"SUN"	-	Rolling weekly on a Sunday.

MinLength:

All Direct / Indirect Based Elements (3):

periodConvention,

rollConvention (defined in CalculationPeriodFrequency complexType),

rollConvention (defined in PeriodicPayment complexType)

Known Usage Locations

As direct type of elements (3):

periodConvention,

rollConvention (defined in CalculationPeriodFrequency complexType),

rollConvention (defined in PeriodicPayment complexType)

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.

Type Definition Detail

Type Derivation Tree

xsd:token (restriction)

Token (restriction)

RollConventionEnum

Derivation:

restriction of Token

Facets:

enumeration:

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

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

<xsd:simpleType name="RollConventionEnum">

<xsd:restriction base="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>

XML schema documentation generated with DocFlex/XML 1.9.0 using DocFlex/XML XSDDoc 2.8.0 template set. All content model diagrams generated by Altova XMLSpy via DocFlex/XML XMLSpy Integration.