The convention for determining a sequence of dates. It is used in conjunction with a specified frequency. The value defined here applies to all adjustable dates in the instrument leg unless specifically overridden.
| Code | Meaning |
|---|---|
| 1 | 1st day of the month |
| 2 | 2nd day of the month |
| 3 | 3rd day of the month |
| 4 | 4th day of the month |
| 5 | 5th day of the month |
| 6 | 6thd day of the month |
| 7 | 7th day of the month |
| 8 | 8th day of the month |
| 9 | 9th day of the month |
| 10 | 10th day of the month |
| 11 | 11th day of the month |
| 12 | 12th day of the month |
| 13 | 13th day of the month |
| 14 | 14th day of the month |
| 15 | 15th day of the month |
| 16 | 16th day of the month |
| 17 | 17th day of the month |
| 18 | 18th day of the month |
| 19 | 19th day of the month |
| 20 | 20th day of the month |
| 21 | 21st day of the month |
| 22 | 22nd day of the month |
| 23 | 23rd day of the month |
| 24 | 24th day of the month |
| 25 | 25th day of the month |
| 26 | 26th day of the month |
| 27 | 27th day of the month |
| 28 | 28th day of the month |
| 29 | 29th day of the month |
| 30 | 30th day of the month |
| EOM | The end of the month. |
| FRN | The floating rate note convention or Eurodollar convention. |
| IMM | The International Money Market settlement date, i.e. the 3rd Wednesday of the month. |
| IMMCAD | The last trading day/expiration day of the Canadian Derivatives Exchange. |
| IMMAUD | The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract. |
| IMMNZD | The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract. |
| SFE | The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates. |
| NONE | No adjustment |
| TBILL | The 13-week and 26-week U.S. Treasury Bill auction dates. |
| MON | Monday |
| TUE | Tuesday |
| WED | Wednesday |
| THU | Thursday |
| FRI | Friday |
| SAT | Saturday |
| SUN | Sunday |