fpml:deliveryDateRollConvention

The 'deliveryDateRollConvention' specifies, for a Commodity Transaction that references a listed future via the 'deliveryDates' element, the day on which the specified future will roll to the next nearby month prior to the expiration of the referenced future. If the future will not roll at all - i.e. the price will be taken from the expiring contract, 0 should be specified here. If the future will roll to the next nearby on the last trading day - i.e. the price will be taken from the next nearby on the last trading day, then 1 should be specified and so on.

Element information

Content

• Sequence [1..1]
  from type fpml:Period
  fpml:periodMultiplier [1..1]    A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days.
  fpml:period [1..1]    A time period, e.g. a day, week, month or year of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).
  1. fpml:dayType [0..1]    In the case of an offset specified as a number of days, this element defines whether consideration is given as to whether a day is a good business day or not. If a day type of business days is specified then non-business days are ignored when calculating the offset. The financial business centers to use for determination of business days are implied by the context in which this element is used. This element must only be included when the offset is specified as a number of days. If the offset is zero days then the dayType element should not be included.

Attributes

Used in

• Group fpml:CommodityProduct.model
• Type fpml:Commodity via reference to fpml:CommodityProduct.model (Elements fpml:commodity, fpml:commodity, fpml:commodity)

Sample instance

<deliveryDateRollConvention>
   <periodMultiplier>2</periodMultiplier>
   <period>D</period>
</deliveryDateRollConvention>