I've got an interest rate swap, it has a right-to-break with a bermudan exercise schedule.

For each exercise, the settlement date is specified as an already-adjusted business day. The "last notification date" (i.e. expiry) for each exercise is specified as 5 business days prior to the settlement date, using the business day convention 'NONE' and the holiday cities given.

What is the correct way to determine the adjusted notification date in this case? Note that this contract is specified in FpML, if that makes any difference.

The FpML looks as follows:

   <dateRelativeTo href="cashSettlementPaymentDate" />

1 Answer 1


Business day convention NONE means no adjustment when a day is not a business day, so I would assume the adjusted notification date to be five days prior to the adjusted settlement date regardless of holidays or weekends. Not sure how that would work out in practice though.


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