Foundations

Before you price a trade, its dates have to be right: which days are open, how long a period is as a fraction of a year, where a schedule's boundaries fall, and which index a coupon reads and when it fixes. This section is the reference for that vocabulary, the conventions that bundle it per market, and the errors helixio raises when an input doesn't fit.

Where to start

For the ideas behind all of it, read how dates and conventions work. Then look up dates and periods, calendars and day counts: every other page uses them. Schedules and indices build on those three, and conventions and templates bundles all of them per market.

Pages

Page	What it covers
how-dates-and-conventions-work	explanation: why markets count days the way they do, and each topic's background
dates-and-periods	tenors as values, month arithmetic, forward tenors, IMM and CDS dates, rolls
calendars	business days, rolling, advancing, counting, joint calendars, settling on two calendars, NDF centres, ingested calendars
day-counts	twelve conventions, leap years, the ICMA reference period, 30U/360's February rule, BUS/252
schedules	regular grids, stubs, stated stub dates, end of month, the merge at the end, payment lags
indices	the index registry, fixing dates, term windows, your own index, forecasts, the fixing rule
conventions-and-templates	templates per market, spot lags, quoted swaps by tenor, overrides, the conventions table
meeting-schedules	central bank decisions, effective dates, meeting windows, pinning a schedule
listed-futures	contract reference periods, last trading days, tick windows, a futures position
errors	one class per layer, the named refusals, what a refusal names, valuing what you can
vocabularies	closed vocabularies as typed members or strings, refused spellings, the measure grammar

Common tasks

You want to	Go to
add a tenor to a date the way a market does	dates-and-periods
roll a date to a business day	calendars
settle FX on two calendars	calendars
use your own holiday list	use your own calendar
look up an index code	rates conventions
measure an accrual period	day-counts
see the conventions a swap will carry	conventions-and-templates
quote a meeting after the shipped schedule ends	pin a meeting schedule
value a book and collect what failed	value a book and collect failures
catch a missing fixing on its own	errors