Business Day Rule

[andyjm]

Hi, I am looking for a sample of a deal in which the interest calculation periods follow a business day rule such as ‘monthly 10th business’? Thanks

[iyermakova]

Browse the interest-rate-derivatives folder; you find many examples there, for instance example – ird-ex01-vanilla-swap.xml No-Business days will be adjusted if you use business day convention “FOLLOWING” or “MODFOLLOWING” for example (take a look at BusinessDayConventionEnum for other options); Note, you would only be checking for a business day in the Business Centers you list. FOLLOWING USNY GBLO 1 M 10 Regards, Irina Yermakova

[andyjm]

Thanks for the reply. I’m still not sure I understand. It looks like the example you provided the period date is rolling on the 10th calendar day of each month subject to the ‘following’ business day convention. So for this month the roll date is simply July 10th. My question is related to a business day rule (e.g. 10th business day based on USNY this month is July 15th and next month the 10th business day based on USNY is Aug 14th and so on) How does FpML handle this ? Do you have to set a business date range that only counts business days from the start of the month? Business date rules are common but I cant seem to find any examples here on this site. Thanks again.

[iyermakova]

You are saying that Business date rules are common… Can I ask you what sort of product you are trying to model? Thank you, Irina Yermakova

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