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Boththe base and term depos cannot be equal to libor rates. This is because the forward points and spot are known , so, whatever rate you choose for 1 of the interest rates, the other will be implied from the arbitrage equation fwd=spot x (1 +rT)/(1+qT) Practice in recent years has been to have the usd int rate come from the 3m libor curve.


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Normal distribution makes most sense these days for ratesthat are very low, or even negative, like euribor, chf libor Normal distribution is what is assumed by option brokers impliedvolatility quotes for these currencies


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Of your list, usd callable swaps are definitely most popular, as, they are needed by banks to hedge fixed rate mortgages. Ps, jeebs answer is not relevent for the interest rates markets


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Deposits are tradable instruments and the deposit rates on broker screens etc. represent indicative market quotes for these instruments. They can be traded for any maturity in theory but most deposits would be less than a year in maturity. LIBOR rates, on the other hand are benchmark interest rates for selected maturities, published each working day by a ...


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Conventional wisdom would have it that the system would be arbitrage free if and only if: All the implied spot and forward rates on each curve are non-negative (I.e implied discount factors are monotonic non-increasing wrt maturity) All the implied spot and forward rates on the 3M curve are greater than or equal to the corresponding rates on the OIS ...


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If you're lucky enough that the payment schedules (start/end dates, frequency, day count, business day adjustment etc.) are the same between the fixed leg of the interest rate swap and the "spread" leg of the basis swap, then you can simply use: OIS rate (%) = IRS Rate (%) - 0.01 * (basis spread (bps)) Otherwise, to do it accurately, you'll need to do a ...


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A couple quick thoughts. Do the PCA on changes or log-changes in your series. That is often how PCA is conducted in fixed-income settings. You're large move in wights corresponds to outlier moves in the blue series. Given the assumptions of a PCA, I would consider whether your dataset has suffered from any breakpoints, regime changes or other rare events ...


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The CME' Fed Fund Futures are what you are looking for. http://www.cmegroup.com/trading/interest-rates/stir/30-day-federal-fund.html On settlement day they settle at the average overnight rate set by the Fed during the contract month.



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