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1 month Libor settlement convention
I have asked this question in general forum, but got no answer. Trying here...------LIBOR for USD is using ACT/360. I am wondering how payment date is determined for quoted LIBOR rates, let's say 1 Month LIBOR while today is January 31st? Is it February 28 (29) of the same year? Thanks
1 month Libor settlement convention
BBA libor info is here: http://www.bba.org.uk/bba/jsp/polopoly. ... age=allEnd month goes to end month, so yes it would be end-feb in the case you give
1 month Libor settlement convention
Depends on the currency. Read through the BBA website for details but, for example, in usd spot (value date) is t+2 so if today was jan 31st maturity wouldn't be end of feb. Also need to factor in holidays (in the case of usd = NY/Lon, and weekends)