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Consider USD Libor 3M swap curve. There are different maturities:

2d, 1m, 3m, 6m, 9m, 1y, 18m etc.

The values for 3m, 6m, 9m etc. time buckets are just swap rates for swaps with floating leg equal to 3m libor, settlements every 3 months and maturities 3m,6m, 9m etc.

I wonder how the values for 2d or 1m are being calculated if the maturity is shorter than the settlement periods?

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Hy there, Well, the 3M Libor Curve is constructed most of the time with the 3M Ticker as the first point of the curve. Some people may include de O/N quote but it depends.

But in this particular case i would say it may be obtained or calculated from an already derived curve.

What is important is that the 1M Libor does not compound into the 3M Libor so i don't think that you can get a quote on the run for that specific tenor.

I think it's just being interpolated from the 3M Libor Curve.

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There's clearly no such thing as a one month par swap with a floating index of 3 months. So you're really just asking what a typical model kicks out of you ask for that rate. In my view the most likely answer is that it would convert the 3m rate into a monthly payment frequency, and that would be the rate given. Thus the rate would be slightly lower than the spot 3m rate.

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Obviously, you won't have a one-month swap with a 3m index. The shorter maturities are usually constructed by liquid short-term instruments such as: deposits. If those instruments are not used, you'll need an extrapolation scheme. This could be anything, like assuming a flat rate or some kind of equations. You'll need to find more from the contract specification.

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