Consider two FRAs.
3x6 , Effective 3 months from now, terminates in 6 months. The floating leg payer pays 3-month LIBOR. Fixing date for LIBOR 40 business days. To price this at par, the fixed leg payer will pay r40.
3x6 , Effective 3 months from now, terminates in 6 months. The floating leg payer pays 3-month LIBOR. Fixing date for LIBOR 2 business days. To price this at par, the fixed leg payer will pay r2.
Will r2 and r40 be different? I would think so. These FRAs represent different risks. How will I determine r2 and r40 ? What is the exact relationship between r2 and r40 ?
Now, suppose Instead of FRAs, I want to construct two 5 year fixed for floating swaps, both swaps have floating rate semi-annual payments of 6 month LIBOR but again have 2 business day and 40 business day fixings. Will I construct two different Yield Curves to price these guys? Will the fixing dates of my instruments used to bootstrap the curve have to match the fixing dates of my swap floating rate? How would I price these two floating legs?