Tenor Handling

Spot

Example that shows the calculation of a Spot date with 2 different spotLags. SpotLag is typically 2 days but this may vary by market and/or currencies.

1D - 1 Day

Example of a 1D calculation, first of all it calculates the Spot Day (spotLag=2) and then adds 1 day to it

2D - 2 Day

Example of a 2D calculation, first of all it calculates the Spot Day (spotLag=2) and then adds 2 days to it and it must roll forward as the calculated date falls on a weekend.

1W - 1 Week

Example of a 1W calculation, first of all it calculates the Spot Day (spotLag=2) and then adds 1 week to it and it must roll forward as the calculated date falls on a holiday.

1M - 1 Month

Example of a 1M calculation, first of all it calculates the Spot Day (spotLag=2) and then adds 1 month to it. Notice that it falls on the last day of the month too.

1Y - 1 Year

Example of a 1Y calculation, first of all it calculates the Spot Day (spotLag=2) and then adds 1 year to it. Notice that it falls on a weekend and hence is moved forward (if HandlerHolidayType is 'forward').