Roll conventions and business day conventions

You must specify both a roll convention and a business day convention when you create a flow convention to schedule cashflows for certain types of instrument:

• The roll convention determines what day a payment occurs.

• The business day convention determines what happens if the scheduled day falls on a non-business day. Note good business days in LUSID (and by inference non-business days) are determined by holiday calendars.

Note: You may also specify a roll convention and business day convention when you schedule a valuation across a range of dates. More information.

Scheduling cashflows

Consider the following example, of a flow convention specified as part of the economic definition of a bond instrument mastered in LUSID:

• The rollConvention field is set to 1 to determine that payment should occur on the first day of the month. Note this field is a string.

• The businessDayConvention field is set to Following to reschedule any payment that does not fall on a good business day to the next business day.

• The paymentCalendars field is set to GBP to determine good business days in the UK.

In a typical year, this means the payment scheduled for 1st January (a public holiday in the UK) occurs on 2nd January. All other payments occur on the first day of their respective months:

{
  "name": "UK Gilt 1.5 2047",
  "identifiers": {"ClientInternal": {"value": "UK_Gilt_2047-identifier"}},
  "definition": {
    "instrumentType": "Bond",
    "startDate": "2016-09-21T10:00:00.0000000+00:00",
    "maturityDate": "2047-07-22T10:00:00.0000000+00:00",
    "flowConventions": {
      "currency": "GBP",
      "paymentFrequency": "6M",
      "dayCountConvention": "Act365",
      "rollConvention": "1",
      "paymentCalendars": ["GBP"],
      "resetCalendars": [],
      "resetDays": 2,
      "businessDayConvention": "Following"
    },
    "domCcy": "GBP",
    "couponRate": 0.015,
    "principal": 1
  }
}