FpML Issues Tracker

902: BusinessDayConventionEnum NEAREST

January 9, 2009

closed

Major

Always

Coordination

Admin

mgratacos

Summary

The definition of NEAREST in FpML is: "The non-business date will be adjusted to the nearest day that is a business day - i.e. if the non-business day falls on any day other than a Sunday or a Monday, it will be the first preceding day that is a business day, and will be the first following business day if it falls on a Sunday or a Monday."

An unusual outcome is that in years when the Christmas holiday is Monday 25th and Tuesday 26th December, the Monday would role forwards to Wednesday and the Tuesday would role backwards to Friday.

Notes:

  • mgratacos

    01/28/09 7:58 am

    2009-01-26: The Coordination Committee agreed that the type should be split into BusinessDayConventionEnum and CommodityBusinessDayConventionEnum so that enumeration values that are specific to commodiites aren’t available in other products. The same applies to the PeriodEnum (with the value H). Even though the model loses reusability, this is preferred rather than having values that don’t applies to some business domains.

  • matthew

    01/28/09 10:13 am

    I am grateful to the Coord committee for their consideration of the enumeration. The change seems reasonable to me.

    But what about the original issue? There was discussion of the original issue at the Coord committee, but no answer. Didn’t we agree to investigate further? I am not sure.

  • mgratacos

    01/28/09 10:16 am

    Owen King (co-chair Commodities WG) said:

    Regarding the remarks about issue 902 on today’s call, the annotation for NEAREST is indeed based on the Commodity Definitions. I will try and follow-up with ISDA as to whether they’ve considered the unusual situation that was mentioned.

  • mgratacos

    02/06/20 12:59 pm

    AWG 2020-02-06

    • We checked the ISDA Commodity Definitions and we may need to update the annotation of the value NEAREST.
    • The convention is that the day falls on a Sunday or Monday, it moves forward to the following business day. The rest of the days is moves to the preceding business day.

  • mgratacos

    09/29/20 4:30 am

    The annotation was updated:

    The non-business date will be adjusted to the nearest day that is a business day – i.e. if the non-business day falls on any day other than a Sunday or a Monday, it will be the first preceding day that is a business day, and will be the first following business day if it falls on a Sunday or a Monday. To clarify, the convention is that the non-business day falls on a Sunday or Monday, it moves forward to the following business day. The rest of the non-business days it moves to the preceding business day.

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