Re: Missing USDLibor6M Actual/360 fixing

Posted by MonkeyMan-3 on
URL: http://quantlib.414.s1.nabble.com/Missing-USDLibor6M-Actual-360-fixing-tp7050p7063.html

animesh saxena <animesh.saxena <at> gmail.com> writes:

> ... (gmane made me prune the rest of this post)
> Say the 1 year floating leg start on on Feb 17 2009 and end on Feb 17
> 2010. The accrual periods, only adjusted to weekends, are
> Feb 17 2009, May 18 2009
> May 18 2009, Aug 17 2009
> Aug 17 2009, Nov 17 2009
> Nov 17 2009, Feb 17 2010
>
> Note that the May 17 2009 is Sunday, so it is adjusted to May 18 2009.
> There are two ways to compute the forward rate for period May 18 to Aug
> 17 2009.
> (1) ForwardRate(May 18 2009, Aug 17 2009), which is "naturally" the same
> as the accrual period.
> (2) ForwardRate(May 18 2009, May 18 2009 + 3 months), which is using the
> 3 months libor definition.
> ... (gmane made me prune the rest of this post)

Seems like you'd want to go with your first option. You'd need to interpolate
the rates in the shorter period rather than extend past the end date. This
should be priced into the instrument, right?



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