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BAXDateNew() function

BAXDateNew(argument list…)

This function returns the last trading date of the BAX futures contract as traded on the Montreal Futures Exchange. The first up to the 42nd contract dates are permitted to be returned, as sequenced from the valuation date. The contract dates are generated as two business days prior to the third Wednesday of the relevant month. The months are generated using the March/June/Sept/Dec expiries, but also with the addition of the two nearest non-quarterly months.

The function uses the following arguments:

Argument Description Restrictions
Valuation_Date the starting date (trading date from which contracts are sequenced) valid Excel date number
Contract_Number the contract expiry date which one wishes to return (1 = 1st contract, 2=2nd, etc.) taking into account the rules above >= 1
<= 42
Holidays array of holiday dates valid Excel date numbers
strictly ascending order

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