DateRollConvention of short overnight swaps
Posted: February 21st, 2023, 4:28 pm
Hi,
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?
Thanks,
Bernd
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?
Thanks,
Bernd