LSEG Data Library for Python

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Date rolling convention

DateRollingConvention for financial instruments.

Name Value Description
LAST "Last" Dates are set to a last working day.
LAST28 "Last28" Dates are set to the last day of the month as with Last, but never February 29. For example, a semi-annual bond with this convention maturing on August 31 pays coupons on August 31 and February 28, even in a leap year.
SAME "Same" Dates are set to the same day if possible, otherwise, it is moved to the last day. The adjusted date is also moved if it is a non-working day, according to the convention set by paymentBusinessDayConvention.
SAME28 "Same28" Dates are set to the same day of the month as with Same, but never February 29.
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