Wikipedia:
date rolling
In finance, date rolling occurs when a payment day or date used to calculate accrued interest falls on a holiday.
Common date rolling conventions are:
- Actual. Paid on the actual day, even if it is a NON business day.
- Following business day. The payment date is rolled to the next business day.
- Modified following business day. The payment date is rolled to the next business day, unless doing so would cause the payment to be in the next calendar month, in which case the payment date is rolled to the previous business day. Many institutions have month-end accounting procedures that necessitate this.
- Previous business day. The payment date is rolled to the previous business day.
- Modified previous business day. The payment date is rolled to the previous business day, unless doing so would cause the payment to be in the previous calendar month, in which case the payment date is rolled to the next business day. Many institutions have month-end accounting procedures that necessitate this.
See also
- Day count convention
- ISDA - standards body governing day count convention alongside ISMA.
- jFin pure java open source implementation of financial date arithmetic
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