Conventions Reference
Lookup table for all string parameter values accepted by vade.
| Value | Description | Used by |
|---|
"M" | Monthly (1-month periods) | Schedule, all instruments |
"Q" | Quarterly (3-month periods) | Schedule, all instruments |
"S" | Semi-annual (6-month periods) | Schedule, all instruments |
"A" | Annual (12-month periods) | Schedule, all instruments |
"Z" | Zero-coupon (single period) | Schedule, zero-coupon instruments |
| Value | Description | Used by |
|---|
"act360" | Actual/360 | dcf(), most IR instruments, DiscountCurve |
"act365f" | Actual/365 Fixed | dcf(), GBP instruments, ForwardCurve |
"act365.25" | Actual/365.25 | dcf() |
"act364" | Actual/364 | dcf() |
"actactisda" | Actual/Actual ISDA | dcf(), bond accrual |
"30/360" | 30/360 (US) | dcf(), USD bonds |
"30e/360" | 30E/360 (European) | dcf(), EUR bonds |
"30e/360isda" | 30E/360 ISDA (requires termination date) | dcf() |
"bus252" | Business/252 (requires calendar) | dcf(), BRL instruments |
"one" | Always returns 1.0 | dcf() |
Aliases: "actual360" for "act360", "act365fixed" for "act365f", "actact" / "actualactual" for "actactisda", "30360" / "thirty360" for "30/360", "30e360" for "30e/360", "30e360isda" for "30e/360isda", "bus/252" for "bus252", "1" / "1/1" for "one".
| Value | Description | Used by |
|---|
"modified_following" | Roll forward; if month changes, roll backward instead | Schedule (default), all instruments |
"following" | Roll forward to next business day | Schedule, instruments |
"preceding" | Roll backward to previous business day | Schedule, instruments |
"modified_preceding" | Roll backward; if month changes, roll forward instead | Schedule, instruments |
"actual" | No adjustment | Schedule |
Aliases: "mf" / "mod_following" / "modfollowing" for "modified_following", "fol" for "following", "pre" for "preceding", "mp" / "mod_preceding" / "modpreceding" for "modified_preceding", "none" for "actual".
| Value | Description | Used by |
|---|
"eom" | End of month | Schedule |
"imm" | IMM date (3rd Wednesday) | Schedule |
1 - 31 | Specific day of month (clamped to month length) | Schedule |
| Value | Description | Used by |
|---|
"short_front" | Short stub at the front (default) | Schedule |
"long_front" | Long stub at the front | Schedule |
"short_back" | Short stub at the back | Schedule |
"long_back" | Long stub at the back | Schedule |
| Value | Description | Used by |
|---|
"log_linear" | Log-linear (piecewise constant forward rates) | DiscountCurve (default) |
"linear" | Linear interpolation | LineCurve (default) |
"linear_zero_rate" | Linear in zero-rate space | DiscountCurve, LineCurve |
"flat_forward" | Flat forward rates (step function) | ForwardCurve (default) |
"flat_backward" | Flat backward rates | ForwardCurve |
"natural_cubic" | Natural cubic spline (C2-continuous) | DiscountCurve, LineCurve |
"log_cubic" | Log-cubic spline (positive DFs guaranteed) | DiscountCurve |
"hermite" | Hermite cubic with finite-difference tangents | DiscountCurve, LineCurve |
"monotone_cubic" | Fritsch-Carlson monotonicity-preserving | DiscountCurve, LineCurve |
"convex_monotone" | Hagan-West convex monotone (positive forwards) | DiscountCurve |
| Value | Description |
|---|
"NYC" | New York |
"LDN" | London |
"TGT" | TARGET (Eurozone) |
"TYO" | Tokyo |
"SYD" | Sydney |
"ZUR" | Zurich |
"STK" | Stockholm |
"OSL" | Oslo |
"TRO" | Toronto |
"FED" | US Federal Reserve |
"WLG" | Wellington |
"MUM" | Mumbai |
"MEX" | Mexico City |
"BJS" | Beijing |
"NSW" | New South Wales |
| Format | Example | Description |
|---|
"NY" | "2Y" | N years |
"NM" | "6M" | N months |
"NW" | "1W" | N weeks |
"ND" | "3D" | N calendar days |
"NB" | "3B" | N business days (requires calendar) |