I am having problems understanding what day is the settlement date for a libor rate, and how to find it for a given rate, e.g., Overnight, 1-Week, etc?

  • $\begingroup$ Overnight = tomorrow, 1-Week = 1 week from today? $\endgroup$ – zer0hedge May 15 '17 at 19:54
  • $\begingroup$ In addition Holidays must be taken into account theice.com/publicdocs/LIBOR_Holiday_Calendar_2017.pdf $\endgroup$ – noob2 May 15 '17 at 20:36
  • $\begingroup$ Overnight, 1-Week, etc is the maturity, not the settlement. I don't know how/when these things settle, and I am assuming it is not T+2, etc. $\endgroup$ – Ivan May 15 '17 at 20:41
  • $\begingroup$ Which currency? Some of them settle T+0, some are T+2. $\endgroup$ – msitt May 16 '17 at 0:45

A libor that fixes on $t_f$ starts on $t_s$ and end on $t_e$, with typically $t_s$ = $t_f + \text{lag}$ with following adjustment, and $t_e = t_s + \text{tenor}$ with following or modified following adjustment depending on daily, weekly or monthly tenor. Also the EOM rule usually applies.

Lag and adjustments will depend on the currency and may be based on several calendars. For instance in the case of Euribor $t_s$ = $t_f + 2$ target days, $t_e = t_s + \text{tenor}$ adjusted following or modified following target

Or in the case of Libor USD $t_s$ = $t_f + 2$ London days adjusted following London+New York, $t_e = t_s + \text{tenor}$ adjusted following or modified following London+New York.

You will find most Libor conventions here: https://developers.opengamma.com/quantitative-research/Interest-Rate-Instruments-and-Market-Conventions.pdf


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