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I'm trying to price an Euribor 6M Swap and comparing this to Bloomberg's swap manager. However, I'm having some doubts on my implementation of getting the reset rate for the floating leg. In Bloomberg I see that the Reset Date is determined 2 days before the accrual start of a period. For the first accrual period this is easy as the rate is already known. For the subsequent floating rates, I bootstrap both my discount and forward curves.

Based on what dates is the forward rate on the reset date calculated?

I've currently implemented it using the following formula: enter image description here

where t1 = Accrual Start date and t2 = Accrual End date. In case the Reset Date is equal to the Accrual Start, the above formula works. However, it is not clear to me how Bloomberg determines this 2 days before the accrual start using the above formula?

See below a screenshot from Bloomberg's export. enter image description here

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  • $\begingroup$ As Bloomberg's column labels clearly say: The rate for the accrual period from 10/31/2023 to 04/30/2024 (AccrualStart / End) is paid on the PayDate 04/30/2024 and not on the ResetDate. $\endgroup$
    – Kurt G.
    Nov 12, 2023 at 10:10
  • $\begingroup$ I've rephrased the question a bit. My question was more regarding how the forward rate is determined on the reset date if the reset date is not equal to the start of the accrual period. $\endgroup$
    – aghilario
    Nov 12, 2023 at 12:01
  • $\begingroup$ Some examples and info here: rateslib.readthedocs.io/en/latest/api/… $\endgroup$
    – Attack68
    Nov 12, 2023 at 12:41
  • $\begingroup$ EURIBOR (and nearly all other money market rates that I am aware of) are not continuously compounded as your $ln$ formula assumes. They are simply compounded. Try your luck with $$r_{1,2}=\left(\frac{DF(0,t_1)}{DF(0,t_2)}-1\right)\frac{1}{t_2-t_1}$$ and don't forget to use $ACT/360$ to calculate $t_2-t_1\,.$ $\endgroup$
    – Kurt G.
    Nov 12, 2023 at 14:55
  • $\begingroup$ @Attack68 Thanks for the link. Under 'Fixings' it states the following: "3M EURIBOR was published on Thu-2-Mar-2023 as 2.801%, which is applicable to the start date of Mon-6-Mar-2023 with value end date of Tue-6-Jun-2023." My understanding is then that I can calculate this forward rate using the ratio between the discount factors where t1=Accrual start and t2=Accrual end and I do not have to take into account the reset date in my bootstrapping algorithm. The reset date is only important as it is the date in the future on which the actual rate will be published. $\endgroup$
    – aghilario
    Nov 12, 2023 at 15:14

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