When working with interest rate swaps (I'm building a calculation spreadsheet), how many decimal places should be used for displaying and working with LIBOR rates, swap rates and discount factors?
My initial thoughts are:
- IBOR Rates - 5 decimal places, e.g. 4.25000%
- Swap Rates - 3 decimal places, e.g. 4.611%
- Discount Factors - 4 decimal places, e.g. 0.9804
Most online tutorials that I see work with IBOR rates to 2 dp, but the official rates are released to 5 dp.