Template:Business day conventions: Difference between revisions
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===[[Business day convention]]s for your reading pleasure=== | ===[[Business day convention]]s for your reading pleasure=== | ||
How one adjusts the [[calculation period]] for a given interest [[coupon]] to account for the fact that it ends on a non-working day, and that therefore the interest payment can’t be made on schedule. | |||
*'''[[No adjustment business day convention]]''': The keep calm and carry on option: non-workdays of any kind are effectively ignored. Cashflows falling on non-workdays are assumed to be distributed on the actual date. | *'''[[No adjustment business day convention]]''': The keep calm and carry on option: non-workdays of any kind are effectively ignored. Cashflows falling on non-workdays are assumed to be distributed on the actual date. | ||
*'''[[Previous business day convention]]''': Back to the day before: Cashflows falling on non-workdays are assumed to be distributed on the '''[[previous]]''' [[business day]]. | *'''[[Previous business day convention]]''': Back to the day before: Cashflows falling on non-workdays are assumed to be distributed on the '''[[previous]]''' [[business day]]. | ||
Revision as of 07:59, 17 May 2019
Business day conventions for your reading pleasure
How one adjusts the calculation period for a given interest coupon to account for the fact that it ends on a non-working day, and that therefore the interest payment can’t be made on schedule.
- No adjustment business day convention: The keep calm and carry on option: non-workdays of any kind are effectively ignored. Cashflows falling on non-workdays are assumed to be distributed on the actual date.
- Previous business day convention: Back to the day before: Cashflows falling on non-workdays are assumed to be distributed on the previous business day.
- Following business day convention: Cashflows falling on a non-workday are assumed to be distributed on the next business day.
- Modified previous business day convention: Cashflows falling on a non-workday are assumed to be distributed on the previous business day unless it would fall in a different month, in which case it’s the next business day.
- Modified following business day convention: Cashflows falling on a non-workday are assumed to be distributed on the next business day unless it would fall in a different month, in which case it’s the previous business day.
- End of month - no adjustment business day convention: All cashflows are assumed to be distributed on the final day of the month (even if it is not a workday).
- End of month - previous business day convention: All cashflows are assumed to be distributed on the final day of the month unless it is not a workday, in which case it's the previous business day.
- End of month - following business day convention: All cashflows are assumed to be distributed on the final day of the month unless it is not a workday, in which case it's the next business day.