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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

  • Libor,
  • Euribor,
  • Eonia
  • etc?
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    $\begingroup$ I guess Bloomberg or Datastream may have them. What kind of model are you using? $\endgroup$ – Egodym Oct 14 '15 at 20:03
  • $\begingroup$ I'm doing basic stuff with SABR $\endgroup$ – james42 Oct 14 '15 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 '17 at 18:38
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Check out free daily interest rates at ICE Benchmark Administration

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