I have a USD IRS S/A v 3M LIBOR with the following dates:
Effective: 30th April 2018 Maturity: 28th April 2028 (Rolls day of month = 28)
Therefore stub period runs from 30th April 2018 to 28th July 2018 but as the latter is a Saturday, the accrual period would adjust to 30th July 2018.
The 3M LIBOR print for value date 30th April 2018 would be for a maturity of 31st July 2018 given LIBOR follows the 'end-end' convention so I would expect to have to use a linear interpolation of (2M, 3M) for my period 30/04/18-30/07/18 as it falls one day short of the actual LIBOR period but it seems market middleware/CCPs default to straight 3M with no interpolation.
Is that because calculation of stub period length in our example swap should be based on the roll convention of the actual swap (28th = NOT end of month) and not the underlying LIBOR length? That's to say, because the swap doesn't follow end of month roll convention, 30th April 2018 to 30th July 2018 is exactly 3M - and therefore only 3M LIBOR is acceptable despite the fact that the 3M LIBOR print is actually derived from dates 30th April 2018 to 31st July 2018?