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LIBOR Days
LIBOR is based on the "Modified Following Business Day" convention. Contract
durations span from overnight to 12 months; I'm working with the 12 monthly contracts. I was hoping to find an Excel function, but no luck. My convoluted method starts with determining if a day is a business day, then calculating the Modified Following Business Day, then calculating the 12 dates 1 to 12 months out (harder than it seems because of February), and looking up the Modified Following Business Days. I can post my formulas, but they're pretty ugly. Does anyone have something "less indirect"? |
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