Tenor

The short end of the curve uses named tenors; the long end uses period notation. The table below is the union of every tenor label attested across the source material this cluster draws on, in ascending order. No single curve necessarily carries every one of these as a live pillar — which subset is actually quoted (as opposed to filled in by interpolation) depends on the curve type and the liquidity of the underlying instrument at that point (see Interest Rate Curves for the instrument-to-pillar mapping).

Longer tenors follow the pattern nM (months) or nY (years). Odd tenors between liquid points are broken dates.

A critical cross-asset convention: for rate curves, tenors beyond S/N are measured from spot. For volatility surfaces, tenors are measured from today. This distinction means that 1W on a rate curve and 1W on a vol surface refer to different calendar dates — see FX Volatility Surface for the vol-surface pillar convention this contrasts with. Failure to align these conventions leads to significant pricing errors.

To avoid ambiguity at the short end, the following canonical names are useful:

The meaning of a tenor label depends on the curve type. Three major conventions exist, and the same nominal label (e.g. O/N) can resolve to a different date under each.

A tenor label becomes a date in exactly one way, decided 2026-08-09 (the FOMC analysis): anchor + a calendar offset + n steps along a named schedule axis. Two axes exist:

• Calendar arithmetic: DAY, WEEK, MONTH, YEAR offsets from an anchor (the ANCHOR_OFFSET algorithm). A bare 1M resolves as "spot + 1 month" under the standard rates convention.
• A named schedule: a fixed set of dates walked step-by-step from the anchor (the SCHEDULE_STEP algorithm). IMM roll dates (ROLL_QUARTER schedule, closed-form) and FOMC meeting dates (FOMC_MEETING schedule, looked up from the event store) are both instances of this axis — the same mechanism, differing only in where the dates come from. 1Y 1RQ is "anchor + 1 year, then 1 step along ROLL_QUARTER"; 2F is "anchor + 0 offset, then 2 steps along FOMC_MEETING".

The code-side vocabulary (the tenor_conventions and tenor_convention_resolutions entities) records, per convention and per tenor, the measured_from anchor (see the tenor_anchors vocabulary: SPOT, TODAY, TOMORROW, NEAR_LEG, IMM_ROLL, NONE), the offset, and — for schedule tenors — the schedule code and step count. The resolver that executes this model, and the exact entities, are documented in Tenor and Curve Bootstrapping Architecture.

The short-end labels and the <n><D|W|M|Y> period pattern are not local convention — they are checked here against independent, citable technical sources:

• OpenGamma Strata: MarketTenor — an open-source, industry-used quant library's API documentation, defining ON=/=TN=/=SN=/=SW in terms matching this document's almost exactly (ON: today to tomorrow, spot lag 0; TN: tomorrow to the next day, spot lag 1; SN: spot to spot+1, conventional spot lag; SW: one week from spot), and confirming standard regular tenors (2W, 1M, 1Y, …) are measured from spot under the conventional spot lag.
• FpML 5.6: Interest Rate Derivative Product Architecture — confirms the <n><D|W|M|Y> pattern this document uses (periodMultiplier combined with a period code, e.g. 6M, 5Y) is the actual ISDA/FpML standard representation for a tenor, not an ad hoc parsing convention invented for this codebase.