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What data sources are available online?

http://en.wikipedia.org/wiki/Yield_curve_construction#Construction_of_the_full_yield_curve_from_market_data

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

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An aside on constructing curves; it is no longer valid to construct curves from heterogeneous instruments like cash and 3m futures, or Treasuries and Swaps. You need a funding/OIS curve from Fed Funds and other overnight instruments and a separate 3m curve from Libor, Futures and Swaps. Libor stopped being a reasonable funding indicator some time ago, and is now only correlated to funding. – Phil H Feb 4 at 10:42
This is not a question on the methodology of constructing a curve (like for example in quant.stackexchange.com/questions/2982/…). It is a question on where to find free data! Uhhh. – Christian Fries Feb 4 at 20:33

marked as duplicate by Joshua Ulrich, Ryogi, Bob Jansen, vanguard2k, chrisaycock♦ Feb 4 at 12:30

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Not sure this includes all data but certainly interest rate swaps. I heard somewhere FED Saint Luis (or was it another office) actually offers an API into their public data center, but I cannot confirm that:

http://research.stlouisfed.org/fred2/categories/32299

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Sorry I just saw the reference to the same on the link Joshua Ulrich linked to (Quant Stack exchange "master list"). – Matt Wolf Feb 4 at 2:41
FRED API – Joshua Ulrich Feb 4 at 15:52

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