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 building curve? Another Q is: does bloomberg use ISDA swap rates in her curve, e.g. USSW01?Thx in advance!

you should have the appropriate dates for your cash flows adjusted for holidays and the roll convention. Also, it strikes me that you are mixing two types of credit (Libor and US Gov) in your curve which is a definite no-no.

QuoteOriginally posted by: daveangelyou should have the appropriate dates for your cash flows adjusted for holidays and the roll convention. Also, it strikes me that you are mixing two types of credit (Libor and US Gov) in your curve which is a definite no-no.It strikes me you haven't bothered to read the question properly (no doubt in your haste to simply increase your posts)xquant is using two business days, settled using the US Gov securities calendar for swaps and two london days for the libor. He is asking about the difference between these, not using US Gov yields to bootstrapMaybe if your free bloomberg trial has enough days left you could answer the second question too?

QuoteOriginally posted by: MabodQuoteOriginally posted by: daveangelyou should have the appropriate dates for your cash flows adjusted for holidays and the roll convention. Also, it strikes me that you are mixing two types of credit (Libor and US Gov) in your curve which is a definite no-no.It strikes me you haven't bothered to read the question properly (no doubt in your haste to simply increase your posts)xquant is using two business days, settled using the US Gov securities calendar for swaps and two london days for the libor. He is asking about the difference between these, not using US Gov yields to bootstrapMaybe if your free bloomberg trial has enough days left you could answer the second question too?"To err is human, to be a pain in the ass is a Mabod speciality"My bloomberg is fine thank you. How is the palmistry and soothsaying business ?

In my view, it doesn't really matter, unless you want your curve to be accurate to one millionth of a basis point. I.e. I personally wouldn't worry about it. In fact, I recently discovered that there really is no default convention to follow when there's a funny date roll (such as for a swap starting 23d of Nov this year).I am not sure what you mean by ISDA swap rates. ISDA fixings provide you with the swap rate at a particular point in time on a particular day. USSWxx swap rates are live and can come from a variety of sources, but have nothing to do with ISDA. If you want a live curve, use USSWxx.