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Business Day Convention

Monday, January 16, 2012

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The Business Day Convention determines how non-business days are accounted for when calculating accrued interest and payments. Options include:

No adjustment

Weekends and holidays are ignored and cash flows occur on the actual date.

Following business day

Dates are adjusted so that cash flows are distributed on the following business day.

Sometimes known as Next good business day.

Previous good business day

Dates are adjusted so that cash flows are distributed on the previous business day.

Modified following

Dates are adjusted to so that cash flows are distributed on the following business day, unless that day falls in the next calendar month in which case it is adjusted to the previous business day.

Sometimes known as Modified business day.

Modified previous

Dates are adjusted to so that cash flows are distributed on the previous business day, unless that day falls in the next calendar month in which case it is adjusted to the following business day.

Sometimes known as Modified business day.

End of Month, no adjustment

Dates are adjusted so that cash flows fall on the last day of the month, even if it is a non-business day.

End of Month, Previous good business day

Dates are adjusted so that cash flows occur on the last day of the month, unless that day falls on a non-business day in which case it is adjusted to the previous business day.

End of Month, Following good business day

Dates are adjusted so that cash flows occur on the last day of the month, unless that day falls on a non-business day in which case it is adjusted to the following business day.

Deposit rollover method

Dates are adjusted so that cash flows occur on the same day of the month as the previous date. Each date is set to the next good business day however no dates may be adjusted past the last good business day of the calendar month.

Notes to users:
We are constantly expanding our functionality and improving the user experience. This requires to make changes from time to time.
This may result in small discrepancies between the help section and system, for which we apologise.

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