# Day Count Convention

I am currently reading the book Term-Structure Model, chapter 3, by Damir Filipovic and I have the following problem:

The Libor rate for the maturities: Over night, 1 week, 1 month, 2 months and 3 months are taken from the yen data from the date 9/1/1996. However, the spot date is 11/1/1996. So my first question is: Shouldn't the date where the data is taken and the spot date agree ?, i.e either both should be 9/1/1996 or 11/1/1996.

The second question refers to the day-count convention. Using the dollar Libor rate the day count convention is actual/360, but his maturity date for the 1 month Libor is 13/2/96 shouldn't it be 11/1/96 + 30 days = 10/2/96?

• Spot is t+2, one month forward is Sunday. Monday is Lincoln's birthday. So it's Tuesday. I you learn from a book, these details generally don't matter. In actual trading, you have conventions plus term sheets stating all details. Oct 1 '21 at 12:09
• Opengamma has details. Explanation is here. Oct 1 '21 at 12:27
• I see great that really helped, thank you. Oct 1 '21 at 12:54