How Libor Fixing Dates Determine Deposit Start and End Dates

Summary

The document describes how to map a Libor fixing date to the underlying deposit’s start and end dates. The start date is generally the fixing date plus a currency-specific settlement lag, adjusted under the relevant business-day rules. The end date is then obtained by adding the tenor and applying the applicable calendar adjustment; end-of-month conventions may also matter.

It gives examples for Euribor and USD Libor, which use different calendars and settlement rules. These examples show why a tenor label such as overnight or one week is not enough to determine exact dates: the currency, calendars, lag, adjustment convention, and end-of-month rule must be known. The document points to convention references but does not provide a complete convention table, so exact dates require checking the rules for the specific rate and fixing date.

Key ideas

• A fixing date, deposit start date, and deposit end date are distinct dates.
• The start date typically follows the fixing date by a currency-specific lag and calendar adjustment.
• The end date applies the tenor to the start date and may need a following or modified-following adjustment.
• Calendar and end-of-month rules vary by currency and tenor.

Tags

# Define the settlement date of Libor. Where to get them


# Define the settlement date of Libor. Where to get them












I am having problems understanding what day is the settlement date for a libor rate, and how to find it for a given rate, e.g., Overnight, 1-Week, etc?

## Answer by Antoine Conze (score 3, accepted)

https://quant.stackexchange.com/a/34229

A libor that fixes on $t_f$ starts on $t_s$ and end on $t_e$, with typically $t_s$ = $t_f + \text{lag}$ with following adjustment, and $t_e = t_s + \text{tenor}$ with following or modified following adjustment depending on daily, weekly or monthly tenor. Also the EOM rule usually applies.

Lag and adjustments will depend on the currency and may be based on several calendars. For instance in the case of Euribor $t_s$ = $t_f + 2$ target days, $t_e = t_s + \text{tenor}$ adjusted following or modified following target

Or in the case of Libor USD $t_s$ = $t_f + 2$ London days adjusted following London+New York, $t_e = t_s + \text{tenor}$ adjusted following or modified following London+New York.

You will find most Libor conventions here: https://developers.opengamma.com/quantitative-research/Interest-Rate-Instruments-and-Market-Conventions.pdf

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.