By default the system ensures that all coupon start and end dates to fall on business days. That is, if any of these dates was scheduled to fall on a non-business date, the system automatically adjusts it to a business date. It does this using the defined roll convention (which is set using the Roll Convention dropdown list in the Cash Flow Dates window).
However, you can specify that coupon start and end dates (with the exception of the first coupon’s start date, which must always fall on a business day) can fall on a non-business day if relevant. You do this using the Coupon Calculation toggle button in the Cash Flow Dates window (Working With the Cash Flow Dates Window).
The following settings are available:
Adjusted
This tells the system to ensure that all coupon start and end dates are adjusted so they do not fall on non-business days.
Unadjusted
This setting allows coupon start and end dates, with the exception of the first coupon’s start date, to fall on non-business days.
To configure whether coupon dates can fall on non-business days:
| 1. | In the pricing page, define the instrument. |
| 2. | Click the Cash Flow & Dates button. |
| 3. | In the Cash Flow Dates window toggle the Coupon Calculation button to Unadjusted or Adjusted. |
| 4. | Click Calculate to implement this change for the underlying coupons. The dates are updated as necessary. |
| 5. | Click Accept to save these changes for this instrument. |