On Fri, Nov 11, 2011 at 11:23 AM, barba dos <
[hidden email]> wrote:
> Who could tell me the difference between EurLiborSwapIsdaFixa between
> EurLiborSwapIsdaFixb?
>
> And the same for the difference between UsdLiborSwapIsdaFixAm and
> UsdLiborSwapIsdaFixPm?
ISDA provides fixings for the swap rates at two different times during
the day (10am and 11am London time for EUR, 11am and 3pm New York time
for USD). So for instance, EurLiborSwapIsdaFixa holds the 10am
fixings and EurLiborSwapIsdaFixb holds the 11am fixings. I guess
you'll choose either depending on what fixing your contract uses.
Luigi
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