LSEG Data Library for Python

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Business day convention

BusinessDayConvention for financial instruments:

Name Value Explanation
BBSW_MODIFIED_FOLLOWING "BbswModifiedFollowing" Adjust dates according to the BBSW Modified Following convention.
EVERY_THIRD_WEDNESDAY "EveryThirdWednesday" Dates are adjusted to the next every third Wednesday.
MODIFIED_FOLLOWING "ModifiedFollowing" Adjust dates according to the Modified Following Convention - next business day unless it goes to the next month, preceding is used to that case.
NEXT_BUSINESS_DAY "NextBusinessDay" Move to following date when public holiday.
NO_MOVING "NoMoving" No moving convention.
PREVIOUS_BUSINESS_DAY "PreviousBusinessDay" Move to preceding date when public holiday.
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