How can I convert a 6M Libor rate e.g. 1Y Tenor to a 3M Libor rate using a basis swap 3M vs. 6M? I wanted to know the math and also an example would be great.
6M Swap 1Y Tenor: 1.925 3M Swap 1Y Tenor: 1.77109 3v6M Basis Swap 1Y Tenor = 15.625
When calculating now the 3N Swap 1Y Tenor based on the 6M Swap and the Basis Swap I receive the following value:
Calc 3M Swap 1Y Tenor: 1.76875
which is a relative differdnce og 0.13%.
The day count conventions are the same so I am not sure why I receive this kind of difference.