Does anyone has a link to an official resources to know if the end date is preserving the end of month for LIBOR fixings ?
i.e. if on USD LIBOR today +2bd is an end of months, does that mean that LIBOR1M will end as well on the last business day of the end of month ?
Serving the Quantitative Finance Community
Re: What are the rules for EOM effective dates for Libor
In the late nineties, the answer was no ... Libor respected the day-of-the-month, not the month-end property. In 2000's it got murky with some firms choosing yes and some choosing no. I'm think that Libor does not respect the end of month, but please correct me if I'm wrong.
Re: What are the rules for EOM effective dates for Libor
In the late nineties, the answer was no ... Libor respected the day-of-the-month, not the month-end property. In 2000's it got murky with some firms choosing yes and some choosing no. I'm think that Libor does not respect the end of month, but please correct me if I'm wrong.