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4-week US Treasury bill rates would give you a good proxy for USD cash interest. You can download them from here: http://www.federalreserve.gov/releases/h15/data.htm "The return on domestically held short-dated government bonds is normally perceived as a good proxy for the risk free rate." - wikipedia


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Essentially the market splits this discounting into 2 parts; risk-free discounting and credit risk. Take a market IRS in USD; it will fix on USD Libor (fixed in London). But Libor is a measure of unsecured interbank lending, and a standard IRS contract these days is cash collateralised and daily margined, so Libor isn't really a good fit, so the ...


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thanks for all answers above. William's answer is more direct. actually i was quite new to the calibration area one year ago, so my question is quite simple but that simplicity might mislead others to a complex context. to comment on my own question in case anyone new to it might drop it, Damiano Brigo's book Interest Rate Models Theory and Practice (2006) ...



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