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.



1 Answer 1


You're pretty much correct, so these are mostly confirmations:

  1. Yes, the "3-month" USD LIBOR rate is really a 2 business day forward 3-month LIBOR rate (assuming the anchor date of your yield curve, the date on which the discount factor is 1, is "today").
  2. USD swaps observe both New York and London holidays.
  3. If the maturity date is a bad day, it is adjusted to a business day using the "Modified Following" rule – it's moved to the next business day, unless the next business day follows in the next month, in which case you move it to the previous business day.
  • $\begingroup$ Where is this 3M LIBOR then used on the 3M LIBOR curve? Is it the 3M maturity point? What do the maturities less then tenor represent then on a 3M LIBOR curve, e.g. ON, 1W, 2W, etc? I would have thought it is only possible to have maturities greater than tenor of the index. Thank you $\endgroup$
    – Confounded
    Oct 16, 2020 at 12:30

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