Date Determination Reference Rule
Date Determination Reference Rule. A rule for determining a date or for making adjustments from a date determined by some means, to return another date, for example adjusting from a non working to a working date.
Issues and Challenges
These kinds of rules are referred to in two separate FpML enumerations, the "BusinessDayConventionEnum" for determining when a returned date is rolled to a suitable business day, and one for scheduled event dates (called, confusingly "Roll" dates) as defined in "RollConventionEnum". One such rule appears in both. Also included in this set of rules is the optional rule for further modifying the date returned by a date roll rule. In FpML description for "BusinessDayConventionEnum": "The convention for adjusting any relevant date if it would otherwise fall on a day that is not a valid business day. Note that FRN is included here as a type of business day convention although it does not strictly fall within ISDA's definition of a Business Day Convention and does not conform to the simple definition given above." These rules (with the possible exception of "FRN") are applied to dates returned by some date specification or parametric schedule specification or some other such rule, and detail treatment of those returned dates in the event of them being for example a working day, being in the wrong month or year and so on. The Date Roll Rule operates on the date returned by the date specification or parametric schedule, and return a further date. If the Date Roll Rule is used alone, that is the final date to be returned from the entire specification or parametric schedule, as the date on which the scheduled event is to take place. In the case of the Modify Convention Roll Rule, this rule is applied to the date returned by the Date Roll Rule, and returns a date which is itself the event date for the scheduled event.
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