What data sources are available online?
I understand there are different approaches to Yield curve construction: 1. Boot strapping from bonds and treasury 2. From market data: cash/libor (<3m) futures - Treasury-bill futures, Treasury-bond futures and Eurodollar futures. (3m to 2y) Swaps (>2y to 30y) Question is, where you find FREE DATA ONLINE for Interest rate futures and Interest rate swaps?
For example, I can only find open interest of different Ccy from CBOT here (but not actual rates) http://www.cmegroup.com/trading/interest-rates/cleared-otc/#data