element <periodConvention> (local)
Namespace:
http://www.fpml.org/FpML-5/confirmation
Type:
RollConventionEnum
Content:
simple
Defined:
locally within ObservationFrequency complexType in fpml-shared-5-8.xsd; see XML source
Content Model Diagram
XML Representation Summary
<periodConvention>
   
Content: 
{ enumeration of xsd:token }
</periodConvention>
Simple Content Detail:
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:
0
Included in content model of elements (1):
observationFrequency
Annotation
Used in conjunction with a frequency and the regular period start date of an observation period, determines each observation period end date within the regular part of a observation period schedule.
XML Source (w/o annotations (1); see within schema source)
<xsd:element minOccurs="0" name="periodConvention" type="RollConventionEnum"/>
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.