A swap that comes into effect two business days from its trade date. The value date of a spot start swap is almost the trade date. Interest is usually computed on an ACT/360 day count basis on the floating leg of the swap and on 30/360 day count basis on the fixed leg. Typically, fixed payment dates (coupon dates) are semiannual (every six months), and floating payment dates are quarterly (every three months) to correspond to a three-month floating rate (e.g., 3-month LIBOR). In contrast to spot starting swaps, forward starting swaps are also available in trade, with their first accrual period starting at a future date. However, both types (spot and forward) are quoted in terms of the fixed coupon.
Derivatives
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