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

  • Libor,
  • Euribor,
  • Eonia
  • etc?
  • 1
    $\begingroup$ 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

1 Answer 1


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