Overnight, Tom Next etc...

mattdamon · January 18th, 2007, 9:33 am

Hi,does anyone know where I can get official definitions for generating dates for the zero coupon yield curve, taking into account the various currencies, standard dayes (t/n etc) and business day adjustment conventions?

cemil · January 18th, 2007, 10:30 am

There is no official definition for generating dates for ZC curve. The date is come from your input data used to built your zc curve.