The convention for determining a sequence of dates. It is used in conjunction with a specified frequency. The value defined here applies to all adjustable dates in the instrument leg unless specifically overridden.
Valid values:
| '1' | FirstDay |
| '2' | SecondDay |
| '3' | ThirdDay |
| '4' | FourthDay |
| '5' | FifthDay |
| '6' | SixthDay |
| '7' | SeventhDay |
| '8' | EighthDay |
| '9' | NinthDay |
| '10' | TenthDay |
| '11' | EleventhDay |
| '12' | TwelvthDay |
| '13' | ThirteenthDay |
| '14' | ForteenthDay |
| '15' | FifteenthDay |
| '16' | SixteenthDay |
| '17' | SeventeenthDay |
| '18' | EighteenthDay |
| '19' | NineteenthDay |
| '20' | TwentiethDay |
| '21' | TwentyFirstDay |
| '22' | TwentySecondDay |
| '23' | TwentyThirdDay |
| '24' | TwentyFourthDay |
| '25' | TwentyFifthDay |
| '26' | TwentySixthDay |
| '27' | TwentySeventhDay |
| '28' | TwentyEigthDa28y |
| '29' | TwentyNinthDay |
| '30' | ThirtiethDay |
| 'EOM' | EOM |
| 'FRN' | FRN |
| 'IMM' | IMM |
| 'IMMCAD' | IMMCAD |
| 'IMMAUD' | IMMAUD |
| 'IMMNZD' | IMMNZD |
| 'SFE' | SFE |
| 'NONE' | NONE |
| 'TBILL' | TBILL |
| 'MON' | MON |
| 'TUE' | TUE |
| 'WED' | WED |
| 'THU' | THU |
| 'FRI' | FRI |
| 'SAT' | SAT |
| 'SUN' | SUN |
Used in:
© 2026.
EPAM Systems. All Rights Reserved.
All material contained within the website is copyright of EPAM Systems, Inc. No material contained herein can be copied or otherwise used without the express permission of the copyright holder.