The Excel Derivatives Periscope



Ibor Rate is a child type of Term Rate that represents all the defining properties of a spot deposit rate apart from the numerical value of the spot rate.

The latter is generally determined by the market as described at

Like any Quotable, an object of type Ibor Rate has an associated value at any given valuation time.
That value is interpreted as the fair annualised interest rate of an underlying deposit (or loan), assumed to start on the respective valuation time.
That underlying deposit (loan) is a transfer of funds that must be returned with interest after a time period, called tenor, that is defined within the type here.
As a result, the start date and maturity of the underlying deposit (loan) depend on the chosen valuation date.
As the valuation date changes, the tenor and conventions of the underlying deposit (loan) stay fixed, but its start date and maturity necessarily change.
Note you may create a
trivial object of type Ibor Rate simply through the text: %"ibor code|period", like for example "euribor|6M".