Hot answers tagged holiday
For Interest Rate Swaps, IMM means the periods will be the third Wednesday of each quarter adjusted in following if needed. This means that the start and end dates of each period to compute your day count fraction will be using these dates. The fixing date however will be such as the spot is the IMM start date. This means that for GBP it will be the same ...
Only top voted, non community-wiki answers of a minimum length are eligible