How Market Conventions Define Spot Dates Across Instruments

Summary

The document examines whether a spot date is unique to a currency or instead depends on the conventions of an instrument. It notes that spot dates are determined by both the spot lag and the business-day calendar used to count that lag. As an example, USD SOFR and USD LIBOR swaps use the same stated lag but different calendars, so their effective spot dates can differ.

The question also raises the possibility that instruments in the same currency might use different spot lags, since these are matters of market convention. However, the excerpt provides no answer about how common that practice is or the precise scope over which a spot date is considered unique. It is a framing of conventions rather than a worked valuation or empirical survey.

Key ideas

• A spot date depends on the instrument’s spot lag and business-day calendar.
• Instruments denominated in the same currency can have different spot dates under different calendar conventions.
• Equal spot lags do not guarantee equal spot dates when calendars differ.
• The document poses but does not answer whether same-currency instruments commonly use different spot lags.

Tags

# What is the scope of spot lags and spot dates?


# What is the scope of spot lags and spot dates?












In the context of interest rate derivatives, we often speak of the spot date. But of course, there is not a "the" spot date, because there are multiple spot dates, for example for different currencies.

There isn't necessarily even a single spot date for a currency. For example, SOFR and USD LIBOR swaps both have a two-business-day spot lag, but they count business days using different calendars (joint SIFMA / New York for SOFR, joint London / New York for LIBOR), so they can have different spot dates.

Also, in principle, two instruments in the same currency could have different spot lags. It's simply a matter of market convention, after all. In practice, is this ever the case?

So, over what scope is a spot date actually unique?

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