Interest rate models

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Asked 8 years, 1 month ago

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I'm studying by myself how to model interest rates. Is there any database in which I can find accurate data for indices like

chollida

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asked Oct 14, 2015 at 14:38

james42

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$\begingroup$ I guess Bloomberg or Datastream may have them. What kind of model are you using? $\endgroup$
– Egodym
Oct 14, 2015 at 20:03
$\begingroup$ I'm doing basic stuff with SABR $\endgroup$
– james42
Oct 14, 2015 at 22:04
$\begingroup$ Rates won't be difficult to get. For example, LIBOR is readily available from FRED: fred.stlouisfed.org/series/USD3MTD156N. But it'll be challenging to get swaption quotes. I think you can get a small set from CME for free. $\endgroup$
– Helin
Oct 17, 2017 at 18:38

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Check out free daily interest rates at ICE Benchmark Administration

answered Oct 17, 2017 at 18:25

maluwalmk

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