3个月期 伦敦同业拆借利率 是如何计算的

发布网友 发布时间：2022-04-29 02:17

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热心网友 时间：2023-10-05 03:07

所有Libor都是年化。 但是以360天做基准。每天伦敦时间上午11点发布，10种货币15种期限（隔夜到12个月）。下面都是对应美元Libor。在贷款日前两天，（fix date）确定Libor。从value day （T）一直到mature day（t）。 r(t,T)= (T-t)/360

LIBOR borrowing is shown in the following figure.
On fix date/today, the borrower and the lender agree on the fixed LIBOR interest rate. The loan takes place in two business days, on value date, and repays on maturity date. Two exceptions apply. First, for overnight(o/n) LIBOR rate, the fix and value dates are the same. Second, if two London business days after fix date falls on a US holiday, the value date will be rolled forward to the next available business day.
Denote t as Value Date, T as Maturity Date, Las the simply compounded annualized LIBOR rate between t and T. According to Act/360 day counter, the time to maturity (in years) is
Then the simply-compounded interest e for one unit principal is

热心网友 时间：2023-10-05 03:07

所有Libor都是折算成年化。如你说的三个月的Libor价为A%，则要A%÷365×90天。

热心网友 时间：2023-10-05 03:07

所有Libor都是年化。 但是以360天做基准。每天伦敦时间上午11点发布，10种货币15种期限（隔夜到12个月）。下面都是对应美元Libor。在贷款日前两天，（fix date）确定Libor。从value day （T）一直到mature day（t）。 r(t,T)= (T-t)/360

LIBOR borrowing is shown in the following figure.
On fix date/today, the borrower and the lender agree on the fixed LIBOR interest rate. The loan takes place in two business days, on value date, and repays on maturity date. Two exceptions apply. First, for overnight(o/n) LIBOR rate, the fix and value dates are the same. Second, if two London business days after fix date falls on a US holiday, the value date will be rolled forward to the next available business day.
Denote t as Value Date, T as Maturity Date, Las the simply compounded annualized LIBOR rate between t and T. According to Act/360 day counter, the time to maturity (in years) is
Then the simply-compounded interest e for one unit principal is

热心网友 时间：2023-10-05 03:07

所有Libor都是折算成年化。如你说的三个月的Libor价为A%，则要A%÷365×90天。