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Swap Rates Interpolation for AUD

https://forum.wilmott.com/viewtopic.php?t=102392

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Swap Rates Interpolation for AUD

Posted: September 14th, 2020, 8:17 am
by bluetrin
The ASX BBSW rates have the following tenors:
  • 1M
  • 2M
  • 3M
  • 4M
  • 5M
  • 6M
Anyone knows what's the convention for interpolating a stub on a rate swap if one coupon is shorter than 1M (short stub) or longer than 6M (long stub) ?
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