Hi Jay
there are different possible alternatives.
Basically the reference date of a term structure is the date for which
the discount factor is equal to one or the variance is equal to zero.
This said my favorite approach is to have the reference date equal to
today for whatever set of market data/conventions I'm working with
ciao -- Nando
On 10/9/07, Jay Walters <
[hidden email]> wrote:
> I am looking at the convention of setting the reference date for a term structure (such as a yield curve) to the settle date, so for usd libor it is approximately t+2. To discount something, we discount reference date to settle date.
>
> What is the convention for volatility surfaces, for example it seems to match the Cap Floor test cached values the reference date for the volatility is the trade date/today and the to date is the fixing date. This is more like today to trade date day counting.
>
> Cheers
> Jay Walters
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