Out Of Convention
Table of Contents
Summary
A forward ladder does not have one fixed reference point it is measured from — it can be expressed out of spot, tomorrow, or today, and which basis is in effect changes what a given tenor label actually resolves to. Out of Spot is the market default and the convention already assumed throughout Tenor's spot/forward curve conventions; Out of Tomorrow and Out of Today are non-standard alternatives that must be visually distinguished wherever they appear, since a tenor label under a non-standard basis silently means a different date than the same label would under the default.
Detail
The three bases
A forward rate ladder can be expressed starting from different reference points:
- Out of Spot (standard): rates beyond
S/Nare computed off spot — this is the market default, and the convention Tenor's "spot/forward curves" section describes without further qualification. - Out of Tomorrow: rates beyond
T/Nare computed off tomorrow instead of spot. - Out of Today: all rates are computed off today. Tenors in this mode are non-standard and must be visually distinguished (e.g. highlighted) to alert a user they are not reading the conventional spot-basis ladder.
Why the distinction matters
Because a tenor label is only meaningful relative to a
horizon date, changing the
basis a ladder is quoted out of changes what every tenor beyond the
short end actually resolves to, even though the labels themselves (1W,
1M, …) do not change. A user reading 1M on an Out of Today ladder
and assuming the market-default Out of Spot basis would misread the
maturity by however many days separate today from spot. Flagging a
non-default basis visually is therefore not a cosmetic nicety — it is what
prevents a silent misreading of every tenor on the ladder.
Where this applies beyond the FX forward ladder
The basis distinction is not confined to the FX forward ladder it was first documented against: it applies identically wherever a broken date is entered — a broken date added under a non-standard basis must be visually distinguished the same way a standard tenor under that basis would be, per Broken Dates and Turn Points's entry and display conventions.
See also
- Term Structures and Tenors — the hub.
- Tenor — the spot/forward curve convention this document's default basis matches.
- Horizon Date — the anchor every basis (spot, tomorrow, today) is itself a reference point relative to.
- Broken Dates and Turn Points — where non-standard-basis visual flagging also applies, to broken dates specifically.
- Forward Ladder — the presentation surface a quoting basis applies to.
- ores.marketdata.tenor_anchor — the codegen entity model persisting the
SPOT=/=TODAY=/=TOMORROWanchors this document's three bases resolve to.