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Re: Ref Interest Rate as of last day of the month !!

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Hi Rahul,

 

 

for every benchmark, like LIBOR, EURIBOR, etc. you have a parameter - validity (from) date.

 

usually, there is a definition in a contract regarding treatment of banking holidays and weekends, so you should stick to these rules. if I'm not mistaken, a regular rule is that the interest fixing date falls on a week end or a bank holiday, you use reference interest rate valid on the preceding working day.

 

hope this will help.

 

 

Kind regards,

 

Renatas


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