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yl470
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Joined: March 13th, 2005, 2:13 pm

End of month convention for IRS

November 29th, 2005, 5:39 pm

Does the standard interest rate swap use end of month convention or not?
 
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pascalW
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Joined: October 8th, 2004, 7:56 am

End of month convention for IRS

December 22nd, 2005, 9:53 am

Let's look at 4 examples:_/_/_/_/_/_/_/_/_/_/_/_/_/_/_/_/effective date : 31/01/2006expiry date : 31/01/2016Fixing date : quaterlyStandard is : End of Month Roll_/_/_/_/_/_/_/_/_/_/_/_/_/_/_/_/effective date : 30/04/2006expiry date : 30/04/2016Fixing date : quaterlyStandard is : End of Month Roll_/_/_/_/_/_/_/_/_/_/_/_/_/_/_/_/effective date : 30/01/2006expiry date : 30/01/2016Fixing date : quaterlyStandard is : Roll on day 30th_/_/_/_/_/_/_/_/_/_/_/_/_/_/_/_/effective date : 30/01/2006expiry date : 31/01/2016 (imagine 30 is holyday)Fixing date : quaterlyStandard is : Roll on day 30th_/_/_/_/_/_/_/_/_/_/_/_/_/_/_/_/Those dates are just examples (I haven't check holydays ...)To resume: if effective date is end of moth then roll is also end of month.Tell me if this answer your question.