Build Rule


Build Rule refers to List of possible rules that derive the effective term rate associated with a given accrual period from component rates applying on subperiods that partition the given period.
For example, when a rate over a 6-month accrual period is required, but we are only given the values of the 3-month Libor at the start and the middle of the 6-month accrual period.

Or more commonly, in overnight index futures and swaps where each component rate is an overnight rate, i.e. a rate with a tenor of one business day.
Available Build Rule types:
Average
Compound
Undefined