Last updated: 2023-03-16.

tf_quant_finance.datetime.BusinessDayConvention

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Conventions that determine how to roll dates that fall on holidays.

• NONE: No adjustment

• FOLLOWING: Choose the first business day after the given holiday.

• MODIFIED_FOLLOWING: Choose the first business day after the given holiday unless that day falls in the next calendar month, in which case choose the first business day before the holiday.

• PRECEDING: Choose the first business day before the given holiday.

• MODIFIED_PRECEDING: Choose the first business day before the given holiday unless that day falls in the previous calendar month, in which case choose the first business day after the holiday.

Class Variables

• FOLLOWING

• MODIFIED_FOLLOWING

• MODIFIED_PRECEDING

• NONE

• PRECEDING