ISDA

This spreadsheet has been developed for educational use only.

Example: Determining an unknown rate using linear interpolation
Enter data in shaded cells
Description Fixing date Maturity Rate Days
1M Libor (R1) 6/27/2007 7/30/2007 5.32000 33
2M Libor (R2) 6/27/2007 8/29/2007 5.34000 63
Payment date 8/14/2007 48
Libor source: British Bankers Association
Given:
Earlier known rate R1 5.32000
Later known rate R2 5.34000
Maturity oI R1 T1 33
Maturity oI R2 T2 63
Maturity oI unknown rate Tn 48
Interpolated rate
Formula 1
SLOPE (R2-R1)/(T2-T1) 0.00067
Rn R1 + SLOPE`(Tn-T1) 5.33000
Formula 2
(Tn - T1) 15
(T2 - Tn) 15
T2-T1 30
Rn ((R1`(T2-Tn))+(R2`(Tn-T1)))/(T2-T1) 5.3300
Both formulas should always give same calculation
lick here Ior market conventions pertaining to BBA Libor
lick here Ior market conventions pertaining to Euribor
lick here Ior Euribor business day conventions
Please address comments on this spreadsheet to:
David Mengle, Head oI Research dmengleisda.org
Note. Dates must be adfusted according to business day conventions
applicable to rate source (see below).