# LIBOR notation

Table 1 LIBOR Forward Rates and Implied Spot Rates Period*********LIBOR Forward Rates**********Implied Spot Rates 0 × 6*********5.0000%********************5.0000% 6 × 12********5.5000%********************5.2498% 12 × 18*******6.0000%********************5.4996% etc. (I don’t feel like formatting the rest) 18 × 24 6.5000% 5.7492% 24 × 30 6.7500% 5.9490% 30 × 36 7.0000% 6.1238% Can someone explain to me what the notation is describing above?

6X12 5.5% fwd means the forward rate between 6 month to 12 month is 5.5%. Together with the 0X6 spot rates, you could back out the spot rate for 12 month. 1.055^0.5*1.05^0.5 - 1 = 5.2498%

0 X 6 - implies a six month loan , taken today carries a FWD rate of 5% and has a spot rate of 5 % 6 X 12 - implies a 6 mth loan taken 6 months from now 12 X 18 - implies a 6 mth loan taken 12 months from now … and similarly for the rest. The difference between the two numbers implies the term of the loan and the first number implies when the loan is to commence. i.e. how many months from today. Hope it helps.

Thanks guys.

If this was a swap question, we would use the implied spot rates to calculate the swap price, correct?

Yes.