Date Rolling and Business-Day Calendars
Table of Contents
Summary
When a tenor date falls on a non-business day it must be rolled — moved to the nearest valid business day by a defined rule. This document covers that rolling process and the standard conventions that govern it (Modified Following, Following, Preceding, End of Month). The underlying business day / settlement day distinction those conventions depend on is defined once, canonically, in FX spot date and settlement; this document adds only the framing nuance specific to date rolling rather than restating that definition.
Detail
Business day and settlement day, briefly
A business day is a day that is not a holiday for the relevant currencies; a settlement day is a business day that additionally excludes USD holidays, since USD holidays are conventionally treated as valid business days for ordinary business-day purposes but still block settlement — see FX spot date and settlement for the full definition, the pair-level business-day-calendar-as-union rule, and how fixing-date and settlement-date calendars can differ for NDFs.
The rolling process
Date rolling is the process of moving a calculated tenor date forward or backward by a specified period while enforcing business day validity. The rolled date depends on the holiday calendars of all relevant currencies — see Term Structure for where a holiday calendar sits as part of a term structure's metadata.
Standard rolling conventions
- Following: roll forward to the next business day.
- Modified Following: roll forward to the next business day, unless that day falls in the following calendar month, in which case roll backward to the last business day of the original month instead. The industry default for most tenor dates.
- Preceding: roll backward to the last business day.
- End of Month: if the unadjusted date is the last day of its month, the rolled date is the last business day of that month, regardless of which of the above conventions would otherwise apply — preserves the "end of month" property through rolling.
Market timing concepts
- New York Close: the conventional end-of-day for the global FX market, used as the anchor for date boundaries across time zones.
- Market Cut: the cut-off time for a specific market (a date plus a time), determining which business date a trade belongs to.
- DST (Daylight Saving Time): seasonal time shifts affecting cut-off times and timestamp arithmetic; must be handled explicitly rather than assumed constant across a term structure's tenor range.
See also
- Term Structures and Tenors — the hub.
- FX spot date and settlement — the canonical business day / settlement day definition.
- Tenor — the dates this rolling process is applied to.
- Broken Dates and Turn Points — irregular dates that interact with rolling and interpolation together.
- Business Centre — the FpML code that identifies which holiday calendar rolling is performed against.