Naming Swap Forward Start, Effective Date, and Tenor

# What do you call the period from spot to the start of a swap, and the combination of that with its tenor?


# What do you call the period from spot to the start of a swap, and the combination of that with its tenor?












Bit of an odd question, apologies.

An interest rate swap is described by a set of parameters, including:

- The period between the current spot date and the start date of the swap (zero for a spot-starting swap)

- The period between the start date of the swap and the end date of the swap

I call the second the tenor. What do you call the first? For example, if you have a two year forward three year swap, you would say the tenor is three years and the what is two years?

The two parameters often go together, because both are needed to work out the concrete start and end dates. My code, databases, configuration files, and user interfaces are full of places where we specify them both, and then pick up various other parameters from context or whatever. What do you call this package of these two periods? For example, if you are talking about swaps spanning benchmark points, you would say the whats are spot - two year, two year - three year, five year - two year, and seven year - three year?

## Answer by Attack68 (score 2)

https://quant.stackexchange.com/a/81594

If you describe a swap you can do it in three (technically four but the last one is odd enough to be excluded) ways:

- `effective` as date and `termination` as date.

- `effective` as date and `termination` as tenor, from which a date is derived.

- `effective` as tenor and `termination` as tenor, from which you determine dates knowing the `evaluation_date` of a currency, e.g. spot in EUR/USD or today in GBP.

If you were to refer to the same swap as a delta hedge for a swaption you would refer to these quantities as the expiry and tail. E.g. "When's the expiry?" Response is either a specific date or a tenor: "In two years". And the effective date is then derived from the expiry.

If a swap maker was asked to make a price, they might clarify by asking "When's the forward start?" with the response "10 Jan 2034" or *"in 30 months."

At a stretch a corporate sales person might refer to this period as the lead time, or the grace period, on the swap, but this are very colloquial, and not used in the interbank market.

If I definitely needed to describe this I'd follow suit with @Dimitri Vulis and say the "time remaining until start date is.."

With your exact example I would say "the swap is a three year tenor with a two year forward start". Or more commonly either "two year, three year" where the start is inferred as two year and the tenor as three year. Or you can also reverse it but flag it by saying "three year, two year forward". Both of those are actively used.