A LIBOR curve organized historical LIBOR tenor fixings or projected future LIBOR cash flows; it is now a legacy curve requiring date, currency, and methodology checks.
A LIBOR curve is a historical term for either a set of published LIBOR fixings across maturities or a model-built curve used to project future LIBOR-linked cash flows. All LIBOR settings have ceased, so a LIBOR curve is now relevant to legacy contracts, historical valuation, transition analysis, and old market data rather than new benchmark publication.
The label is ambiguous. An analyst must determine whether a source means a same-day chart of historical tenor fixings, such as one-, three-, and six-month LIBOR, or a bootstrapped forward curve built from market instruments. Those are related but not interchangeable datasets.
| Meaning | Main inputs | What the curve showed | Typical use |
|---|---|---|---|
| Published-tenor curve | LIBOR fixings for several maturities on one date | Historical term structure of panel-based bank funding rates | Market commentary and historical comparison |
| Projection or forward curve | Market prices from LIBOR-linked instruments | Implied future LIBOR reset rates | Pricing floating cash flows, hedging, and scenario analysis |
A chart of the published one-month, three-month, six-month, and twelve-month settings was not enough to value a long-dated swap. That valuation normally required a curve-construction process extending beyond the published LIBOR tenors.
LIBOR settings were identified by both currency and tenor. A three-month U.S. dollar setting and a three-month sterling setting represented different markets and could not be combined into one curve.
The administrator calculated each eligible setting from panel-bank submissions after removing specified high and low observations under the applicable methodology. The result was therefore a trimmed mean, not:
That simple-average expression omits the trimming rules and should not be used to reconstruct a historical fixing.
Before cessation, a curve builder could combine instruments covering different maturity ranges, such as:
The model solved for discount factors or forward rates that reproduced the observed instrument prices under stated conventions. The output depended on quote time, interpolation, day count, business-day adjustments, collateral assumptions, and instrument liquidity.
There was no single universal LIBOR curve. Two vendors could produce different curves from the same broad market if their inputs, cut-off times, interpolation methods, or treatment of outliers differed.
Assume a historical simple-money-market curve showed:
5.00%5.20%0.25The simple three-month rate beginning in three months, f_{3,6}, can be inferred by matching the six-month accumulation with two consecutive three-month periods:
Solving gives:
The 5.33% is a curve-implied forward rate under the example’s conventions. It is not a prediction that the future three-month LIBOR fixing would equal 5.33%.
Older single-curve models often used one LIBOR curve both to project floating payments and to discount them. Following changes in funding, collateral, and derivatives markets, multi-curve valuation became common:
Using one curve for both roles after the valuation framework had changed could materially misstate value and risk. The applicable collateral agreement and market convention were part of the model, not administrative details.
All LIBOR settings have permanently ceased. A historical LIBOR curve can still support:
It should not be extended into current periods by merely carrying forward the last fixing. A surviving legacy contract may use a contractual fallback, a statutory replacement, a synthetic setting for a permitted historical period, or another defined rate. The governing document determines the result.
Post-LIBOR curves built from SOFR, SONIA, or another overnight benchmark are not renamed LIBOR curves. Their underlying markets, compounding conventions, credit content, and payment timing differ.
This article provides general financial education, not personalized investment, derivatives, accounting, or legal advice. Historical valuation should use contemporaneous data, documented model conventions, and the governing contract.