O'Reilly logo

Key Financial Market Concepts, 2nd Edition by Bob Steiner

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

Values Dates, Interpolation and Extrapolation

Definition

The value date of a money market transaction is the date on which the transaction is consummated, i.e. delivery takes place.

Interpolation is the process of estimating a price or rate for value on a particular date by comparing the prices actually quoted for values dates earlier and later than the date required.

Extrapolation is the process of estimating a price or rate for value on a particular date, from other known prices, when the value date required lies outside the period covered by the known prices.

How are they used?

Values dates

In many transactions, there is a delay, of one day or more, between agreeing on a transaction with the counterparty and actually transferring the cash ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required