Code Set DateRollConventionCodeSet Scenario base

SYNOPSIS: 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 unless specifically overridden. Additional values may be used by mutual agreement of the counterparties.

ID Datatype
40922String

Codes

ID Name Value Description Supported Added EP Updated EP Deprecated EP
40922001FirstDay1SYNOPSIS: 1st day of the month
✓FIX.5.0SP2161
40922002SecondDay2SYNOPSIS: 2nd day of the month
✓FIX.5.0SP2161
40922003ThirdDay3SYNOPSIS: 3rd day of the month
✓FIX.5.0SP2161
40922004FourthDay4SYNOPSIS: 4th day of the month
✓FIX.5.0SP2161
40922005FifthDay5SYNOPSIS: 5th day of the month
✓FIX.5.0SP2161
40922006SixthDay6SYNOPSIS: 6thd day of the month
✓FIX.5.0SP2161
40922007SeventhDay7SYNOPSIS: 7th day of the month
✓FIX.5.0SP2161
40922008EighthDay8SYNOPSIS: 8th day of the month
✓FIX.5.0SP2161
40922009NinthDay9SYNOPSIS: 9th day of the month
✓FIX.5.0SP2161
40922010TenthDay10SYNOPSIS: 10th day of the month
✓FIX.5.0SP2161
40922011EleventhDay11SYNOPSIS: 11th day of the month
✓FIX.5.0SP2161
40922012TwelvthDay12SYNOPSIS: 12th day of the month
✓FIX.5.0SP2161
40922013ThirteenthDay13SYNOPSIS: 13th day of the month
✓FIX.5.0SP2161
40922014ForteenthDay14SYNOPSIS: 14th day of the month
✓FIX.5.0SP2161
40922015FifteenthDay15SYNOPSIS: 15th day of the month
✓FIX.5.0SP2161
40922016SixteenthDay16SYNOPSIS: 16th day of the month
✓FIX.5.0SP2161
40922017SeventeenthDay17SYNOPSIS: 17th day of the month
✓FIX.5.0SP2161
40922018EighteenthDay18SYNOPSIS: 18th day of the month
✓FIX.5.0SP2161
40922019NineteenthDay19SYNOPSIS: 19th day of the month
✓FIX.5.0SP2161
40922020TwentiethDay20SYNOPSIS: 20th day of the month
✓FIX.5.0SP2161
40922021TwentyFirstDay21SYNOPSIS: 21st day of the month
✓FIX.5.0SP2161
40922022TwentySecondDay22SYNOPSIS: 22nd day of the month
✓FIX.5.0SP2161
40922023TwentyThirdDay23SYNOPSIS: 23rd day of the month
✓FIX.5.0SP2161
40922024TwentyFourthDay24SYNOPSIS: 24th day of the month
✓FIX.5.0SP2161
40922025TwentyFifthDay25SYNOPSIS: 25th day of the month
✓FIX.5.0SP2161
40922026TwentySixthDay26SYNOPSIS: 26th day of the month
✓FIX.5.0SP2161
40922027TwentySeventhDay27SYNOPSIS: 27th day of the month
✓FIX.5.0SP2161
40922028TwentyEigthDa28y28SYNOPSIS: 28th day of the month
✓FIX.5.0SP2161
40922029TwentyNinthDay29SYNOPSIS: 29th day of the month
✓FIX.5.0SP2161
40922030ThirtiethDay30SYNOPSIS: 30th day of the month
✓FIX.5.0SP2161
40922031EOMEOMSYNOPSIS: The end of the month.
ELABORATION: Use EOM for 31st day of the month.
✓FIX.5.0SP2161
40922032FRNFRNSYNOPSIS: The floating rate note convention or Eurodollar convention.
✓FIX.5.0SP2161
40922033IMMIMMSYNOPSIS: The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
✓FIX.5.0SP2161
40922034IMMCADIMMCADSYNOPSIS: The last trading day/expiration day of the Canadian Derivatives Exchange.
✓FIX.5.0SP2161
40922035IMMAUDIMMAUDSYNOPSIS: The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
✓FIX.5.0SP2161
40922036IMMNZDIMMNZDSYNOPSIS: The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
✓FIX.5.0SP2161
40922037SFESFESYNOPSIS: The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
✓FIX.5.0SP2161
40922038NONENONESYNOPSIS: No adjustment
✓FIX.5.0SP2161
40922039TBILLTBILLSYNOPSIS: The 13-week and 26-week U.S. Treasury Bill auction dates.
✓FIX.5.0SP2161
40922040MONMONSYNOPSIS: Monday
✓FIX.5.0SP2161
40922041TUETUESYNOPSIS: Tuesday
✓FIX.5.0SP2161
40922042WEDWEDSYNOPSIS: Wednesday
✓FIX.5.0SP2161
40922043THUTHUSYNOPSIS: Thursday
✓FIX.5.0SP2161
40922044FRIFRISYNOPSIS: Friday
✓FIX.5.0SP2161
40922045SATSATSYNOPSIS: Saturday
✓FIX.5.0SP2161
40922046SUNSUNSYNOPSIS: Sunday
✓FIX.5.0SP2161