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Joined: December 20th, 2021, 7:56 am

DateRollConvention of short overnight swaps

February 21st, 2023, 4:28 pm


I have a rather specific question about the overnight swaps. They usually are rolling with ModifiedFollowing. However, I think to have read somewhere that for maturities <1M (i.e. 1W, 2W, 3W) the market standard DateRollConvention is Following. Unfortunately I can't find any proof of that.

Is here any expert in market conventions who knows this?