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1298: bermuda exercise date via relativeDates

April 19, 2023



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Hello dear experts,

Could you please help me to clarify a bit the next question.

Will religious holidays (Good Friday, Easter Monday) be taken into account for calculation bermuda exercise date via choice relativeDates ? The input data is following:


cash settlement payment date element 

<cashSettlementPaymentDate id="cashSettlementPayment0"> <adjustableDates> <unadjustedDate>2023-04-12</unadjustedDate> <dateAdjustments> <businessDayConvention>FOLLOWING</businessDayConvention> <businessCenters> <businessCenter>GBLO</businessCenter> <businessCenter>EUTA</businessCenter> </businessCenters> </dateAdjustments> </adjustableDates> </cashSettlementPaymentDate>


bermuda exercise dates element 

<bermudaExerciseid="BermudaExercise0"> <bermudaExerciseDates> <relativeDates> <periodMultiplier>-5</periodMultiplier> <period>D</period> <dayType>Business</dayType> <businessDayConvention>NONE</businessDayConvention> <businessCenters> <businessCenter>EUTA</businessCenter> <businessCenter>GBLO</businessCenter> </businessCenters> <dateRelativeTohref="cashSettlementPayment0"/> </relativeDates> </bermudaExerciseDates>

Will religious holidays mentioned above be skipped when deducting 5 business days  ?

And is it correct that final bermuda exercise date will be 2023-04-03 ?

Hope for your help and thanks in advance.

Best regards, Maksym


  • MAZA

    04/19/23 5:42 am

    more convenient view of the code:


    <cashSettlementPaymentDate id=”cashSettlementPayment0″>






























  • JasonPolis

    04/26/23 1:34 pm

    Discussed at XAPWG.

    Confirmed that your interpretation is correct.

  • JasonPolis

    05/11/23 9:54 am


    1. Why are business centers GBLO, EUTA applied when the convention is NONE ?
    Why doesn’t businessDayConvention of NONE turn off Business Centers ?

    The businessCenters affect the calendar for the “Business” dayType adjustment.
    The RelativeDateOffset type specifies:
    “The businessDayConvention should contain a value NONE if the day type element contains a value of Business (since specifying a negative or positive business days offset would already guarantee that the derived date would fall on a good business day in the specified business centers).”

    2. Which date will be placed in the element <adjustedDate> ?

    The adjustedDate is the result of applying the adjustments TO the ANCHOR date.An anchor date of 2023-04-12 (Wednesday) + 2 Business days results in adjustedDate 2023-04-14 (Friday

    3. How is relativeEffectiveDate is calculated in case the anchor date is not a business day ?

    An anchor date of 2023-04-09 (Sunday) adjusted by one business day in London where 2023-04-10 (Easter Monday) is a holiday, would be adjusted to 2023-04-12 (Wednesday).
    The RelativeDateOffset type specifies:
    “If the anchor date is itself an adjustable date then the offset is assumed to be calculated from the adjusted anchor date.”
    The anchor date would likely be adjusted to the next business day, Tuesday, and then the offset applied, resulting in Wednesday.

  • The issue is closed. Only administrators could reopen it.