I have been trying to build a NSS parameterization of LIBOR term structure, and have confused myself over how all the dates are dealt with.
On https://www.theice.com/publicdocs/futures/Fixing_Calendar_2015.pdf, they state that non-O/N LIBOR quotes have value date T+2. Does that mean the quoted LIBOR rates correspond to forward rates?
In terms of the start and end date of a hypothetical loan, what happens if the loan ends on a non-business day or holiday? It seems that for the value date, the holidays include both US holidays and UK holidays, but is that also the case for the end dates?
ICE doesn't have very clear references with regards to these things, so I would also appreciate any reference that explains the date conventions for LIBOR quotes and/or LIBOR swaps clearly.