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).