I'm trying to replicate price I get for CCIRS in SWPM. This is USD3m float vs RUB 1Y. Second leg doesn't matter for my question.
Suppose today is 7th of Jan 2019, deal date. Settlement will happen on 9th of Jan 2019.
I look at cash flow screen. Fixing is 2.80388. The first USD Libor 3m payment will happen in 92 days from now (31+28+31). And I see that it is 90/360*2.80388=0.006992053338 (on the screen this figure you can find if divide payment 1042.06 by notional 148659.09). Also I see that it is discounted with discount 0.993039, which is zero rate (equal to fixing) * 90: 0.993039 = 1/(1+0.0280388 * 90/360).
Could you please explain,
- why do they apply 90 days discount factor for payment which happen in 92 days?
- why do they use libor 3m to calculate this discount if actually this is forward F(2, 92) (here I rely on answer by Helin on quant.stackexchange), but not spot F(0, 92) ?
I'm asking here because I was not able to get response from help desk.