LIBOR Forward Dates, Joint Calendars, and Modified Following

Summary

The document clarifies how USD LIBOR quote dates relate to loan periods and how business-day conventions affect swap dates. A non-overnight tenor quote is described as a forward rate whose accrual period begins two business days after the curve’s anchor date. Thus, a three-month quote refers to a three-month borrowing period starting two business days forward, rather than a rate beginning immediately on the anchor date.

For USD swaps, the response says both New York and London holidays are observed. When a maturity date falls on a non-business day, the Modified Following convention moves it to the next business day unless that would place it in the following month; in that case, the date moves to the preceding business day. These points address the date adjustments needed when constructing a term structure, but the discussion is brief and does not specify day-count, accrual, or payment-frequency rules for particular instruments.

Key ideas

• A non-overnight USD LIBOR tenor quote starts two business days after the curve anchor date.
• The quoted tenor describes the forward accrual period beginning on that adjusted value date.
• USD swaps observe New York and London holidays.
• Modified Following adjusts a non-business maturity to the next business day unless that crosses into the next month, then it uses the prior business day.

Tags

# LIBOR Quoting Conventions


# LIBOR Quoting Conventions












I have been trying to build a NSS parameterization of LIBOR term structure, and have confused myself over how all the dates are dealt with.

On https://www.theice.com/publicdocs/futures/Fixing_Calendar_2015.pdf, they state that non-O/N LIBOR quotes have value date T+2. Does that mean the quoted LIBOR rates correspond to forward rates?

In terms of the start and end date of a hypothetical loan, what happens if the loan ends on a non-business day or holiday? It seems that for the value date, the holidays include both US holidays and UK holidays, but is that also the case for the end dates?

ICE doesn't have very clear references with regards to these things, so I would also appreciate any reference that explains the date conventions for LIBOR quotes and/or LIBOR swaps clearly.

Thanks!

## Answer by Helin (score 2, accepted)

https://quant.stackexchange.com/a/26215

You're pretty much correct, so these are mostly confirmations:

- Yes, the "3-month" USD LIBOR rate is really a 2 business day forward 3-month LIBOR rate (assuming the anchor date of your yield curve, the date on which the discount factor is 1, is "today").

- USD swaps observe both New York and London holidays.

- If the maturity date is a bad day, it is adjusted to a business day using the "Modified Following" rule – it's moved to the next business day, unless the next business day follows in the next month, in which case you move it to the previous business day.

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.