<t>hi, i'm boostrappingg my swap curve from libor rates and ISDA swap rates...but i find settle days and clendar for libor and swap rate are different...e.g. 2 London banking days for USDLIBOR settlement and 2 US Gov securities bussiness days for swap settlement...may i care these difference in buil...

Thx NorthernJohn...you mean, in US swaption market, i should not care floating leg freq. Simply assume semi 30/360 vs quarter act/360?

I found 1DY and 2DY Rate in Bloomberg are Eurodollar deposit rates, also about 2W and 3W rate...Why not Bloomberg use LIBOR rate for these tenor?

Thx very much, how about 1DY and 2DY in Bloomberg?

Hi, can anyone tell me how to determine maturity date for o/n, t/n and s/n USD-LIBOR...In addition i find Bloomberg quotes 1DY and 2DY USD-LIBOR...what they actually stand for? Thx in advance...

hi alvinkam, i test monthly/bi-weekly/weekly/daily simulation, results don't change more...i think monthly simulation can fit practical need

hi, i'm confused...if you still have problem in calibration...how u fit bb price?...can u see bb calibrated results?

under forward swap measure, swap rate follows log-normal distribution

thx dkorsunsky... i have checked in ISDA definitions...you are right...

thx dkorsunsky, that is my understanding, but Bloomberg help desk tell me: semiannually for fixed legs in both USSW01 and USSV0A1; quarterly for floating leg in USSW01( USD Swap Rate) Semiannually for floating leg in USSV0A1 (USD Swaption Vol)So i 'm confused...

Hi All, A basic Q's about frequencies of fixed leg and floating leg for USD swap in Bloomberg e.g. "USSW01" and the same Q's for underlying swap of USD swaption vol in Bloomberg e.g. "USSV0A1".Thx in andvance

Hi, the simulated forward libor's tenor must be equal to the libor rates underlying swaption??? if not, calibrating to market swaption vol by rebonato's formula is a problem.thx in advance

<t>Hi,when i use rebonato's formula for swaption vol calibration, it exactly handle the case where the simulated forward libor' tenor is the same as the libor rates underlying swaption. when to the situation where the simulated forward libor's tenor is less than the libor in swaption, how to calibra...