In the context of interest rate derivatives, we often speak of the spot date. But of course, there is not a "the" spot date, because there are multiple spot dates, for example for different currencies.

There isn't necessarily even a single spot date for a currency. For example, SOFR and USD LIBOR swaps both have a two-business-day spot lag, but they count business days using different calendars (joint SIFMA / New York for SOFR, joint London / New York for LIBOR), so they can have different spot dates.

Also, in principle, two instruments in the same currency could have different spot lags. It's simply a matter of market convention, after all. In practice, is this ever the case?

So, over what scope is a spot date actually unique?



Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Browse other questions tagged or ask your own question.