Re: Missing USDLibor6M Actual/360 fixing

Posted by MikeD on
URL: http://quantlib.414.s1.nabble.com/Missing-USDLibor6M-Actual-360-fixing-tp7050p7057.html

Both calendars need to be adjusted... I'll give you an example:

For USD swap trades executed on 1/15/10, spot (effective) date is
1/15/10 +2 LDN BD (and the 2nd LDN BD needs to be a NY Federal Reserve
business day as well) which turns out to be 1/19/10.

For USD swap trades executed 1/14/10, spot date is ALSO 1/19/10, using
the same logic.

On 1/18/10 (yes you can trade USD swaps in London even if NY is
closed) spot date is 1/20/10.

On 1/19/10 spot date is 1/21/10.

As a rule, the first business day forward needs to be a valid London
business day, while the second business day forward needs to be BOTH a
London business days AS WELL as a New York Federal Reserve business
day.

Hope this helps.  By the way, since you are trying to build a
historical swap curve database, do you mind if I ask where you are
getting your input data (for swaps) for the curve?  If you use
Bloomberg, be very careful, since I have found a lot of problems with
their historical swap data.

- Mike


On Tue, Aug 10, 2010 at 8:07 AM, MonkeyMan <[hidden email]> wrote:

> Luigi Ballabio <luigi.ballabio <at> gmail.com> writes:
>
>>  I think some swap expert should step in and give us an opinion...
>
> That would help. I found several confirms floating around the webs and have seen
> an example of New York for both fixed and floating here:
>
> http://www.budget.state.ny.us/investor/bond/esdcConfirms/UBSPersonalIncomeTaxBonds2December222004.pdf
>
> and here:
>
> http://contracts.onecle.com/mercury-interactive/goldman.swap.2002.11.05.shtml
>
> but this one has New York and London for both legs:
>
> http://agreements.realdealdocs.com/Swap-Agreement/RE-Interest-Rate-Swap-Confirmation-REVIS-1211548/
>
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