Date Rolling Convention
When using Business Days, how BF moves the date to the nearest working day
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Prior to version 1.55, BF had only one method of dealing with Business Days. It would skip to the NEXT working day, which is perfecty good for most general purpose situations.
From 1.55, and it has to be said, in Beta mode, is a new method of specifying the Date Rolling Convention by using the DECIMAL PORTION of a Business Day Switch.
There are 4 Date Rolling Conventions catered for:
- 0=following day business day convention
- 1=modified following day business day
- 2=preceding business day
- 3=modified preceding business day
You specify it by using the HUNDREDTHS area of the DECIMAL PORTION of a Business Day Switch. So for example take the Business Day Switch 200 ( USA Business Days and weekends). If you want the default (following day convention), leave it as is. If you want Modified Following Days, specify 200.01, for Preceding Business Day specify 200.02, etc.
Some functions require a Business Day Switch specifically. In nearly all projections functions you can embed a Business Day Switch as part of an annual sequence, for example, the Periods variable. So you can use this capability all over the library.