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recnvtn_date_rulerecnvtn_date_rule (variable)
Date rule for reconventioning
Declared as: int
Description:
Indicates the date rule which should be used to determine if a security should be reconventioned.
Valid values:
0 = don't reconvention
1 = Big Bang (sd >= 1/1/99)
2 = Big Bang unless maturity date < 1/1/2000
3 = First coupon date in 1999
4 = First coupon date in 99 unless maturity date < 1/1/2000
5 = if coupon rate > 0 and first coupon date in 99,
else if coupon rate = 0 Big Bang unless maturity date < 1/1/2000
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