Quick and hopefully simple question about a standard swap schedule. Let's say we have a plain vanilla 3y fix-flt interest rate swap with cpn-freq = 1, no stubs, in for example EUR. Start date: 2021-11-29 (NOT last bus day in month) Maturity: 2024-11-29 (last bus day in month) If I just have a quote on a screen what should be assumed regarding the intermediary roll dates? Should they be on the end-of-moth dates or not i.e. [2022-11-29, 2023-11-29] or [2022-11-30, 2023-11-30]? Thanks.

  • $\begingroup$ It's impossible to answer without looking at the contract. The only thing I can tell you is that 90% of the swaps that I have seen with broken period, had the broken period at the beginning of the swap, so the payment schedule was built starting from the maturity. $\endgroup$
    – Sebastian
    Nov 26, 2021 at 10:55
  • $\begingroup$ Can't be certain from the given information, but usualy if people want the date to roll on 11/30, they'd give 11/30 as the start date; if it's not a business day in 2021, it would be bumped to 11/29 under modified following rule. As Sebastian said, usually, but not always, the dates march backwards from the maturity date, with the odd period remaining at the beginning. $\endgroup$ Nov 26, 2021 at 13:40
  • $\begingroup$ I guess my question is what is the implied market convention for a standard let's say fix vs Euribor float as it is displayed on a market screen (eg. icap reuter page). Obviously I don't have a contract but the rate on the market screen obviously implies some rules. The "screen swaps" all have straight periods ... no stub periods. The start date is 2021-11-29 which is t+2. You can roll fwd or roll backward ... both implies no stub period either in front or in the end in this case. The question is if the eom-rule is triggered from the maturity date or from the settlement date. $\endgroup$
    – Magnyz
    Nov 26, 2021 at 14:28
  • $\begingroup$ What is the settlement date? 21-11-29 or 21-11-25? $\endgroup$
    – Sebastian
    Nov 27, 2021 at 10:58
  • 1
    $\begingroup$ Without going to much into detail, the reason why I am saying there is no eom-rule for vanilla swaps is because these swaps are used to build the zero curves. I am not a trader but I have built these curves before and match them against Murex. Our swap builder had a vanilla swap pricer on it and we never used eom convenction for the bootstrapping. I was able to replicate the discount factors and price the swaps to 10^-15 accuracy. It there was eom-rule some swaps or some curves would have been off and they weren't. $\endgroup$
    – Sebastian
    Nov 28, 2021 at 18:10


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