# How does Bloomberg arrive at stub rate for swaps/floaters?

I'm trying to interpolate initial stub rate ( 'Index to' in the image ) for the following FRN pricing example.

• Fixes on 2016/11/30
• 1m : 0.623670
• 2m : 0.742500
• 3m : 0.93417

Please be as specific as possible ( particularly day count convention ).

• Did you try asking Bloomberg help desk? Dec 21, 2016 at 22:11
• I did. Was told to look up documentation, which is nothing but minimal description of what Current Index is.
– vara
Dec 22, 2016 at 23:10

Basic money markets arithmetic. Using day count convention ACT/ACT,

01 Dec 2016 to 13 Jan 2017 is 43 days,

(43-30)/(60-30)*(2m Libor - 1m Libor)+(1m Libor)

= 0.675163

• Matches bloomberg perfectly except when the settlement date is holiday. Though it isn't a proper use case, bloomberg still gives some number which i would like to match. Any ideas there?
– vara
Dec 22, 2016 at 22:36
• It depends on Bloomberg's method; you may need fwd Libor rates?
– rrg
Dec 27, 2016 at 17:02
• Uses latest fix. No projection.
– vara
Dec 30, 2016 at 21:20
• Above formula works for Act/360 floaters
– vara
Dec 30, 2016 at 21:22