Tagged Questions
0
votes
0answers
47 views
Historical IR Data for FX [closed]
I am looking for FX Swap, Depo or other interest data for a wide range of FX. I need one rate per day for 3 years.
Is this data available free anywhere?
1
vote
1answer
70 views
When calculating CIP between EU and US, which interest rates data to use?
I am wondering which data to use to test the Covered Interest Rate Parity between Europe and the United States. Recap that for the CIP to hold, it should mean that
F/S = (1+r)/(1+r*) where
F = the ...
3
votes
0answers
119 views
compute time from FX forward, how use DEPO rates?
assume I have following delta-term vol data from broker:
...
9
votes
1answer
235 views
Could banks move to continuous (rather than overnight) funding?
The dominant frequencies for Money Market and FX instruments were 6m and 3m for a long time, and banks slowly moved to commercial trades at those frequencies but funding overnight. If this is a step ...
