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Where can I find a listing of forward swap rates based on libor. E.g. pricing on a swap of rates floating over 30 day libor for 3 year fixed, one year from now?

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If you can get access to a professional bloomberg, the code for a 1yr-3yr forward swap in USd versus 3 month libor is USFS013 .Index Go. I dont know any other way.

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Are you sure you don't want just to look at ED futures? For short term swaps they are very easy to use and have listed prices. The convexity adjustment is negligible.

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  • $\begingroup$ to Josh K, can you give me a web address that I would go to for those futures. I have looked at cmegroup.com/trading/interest-rates/deliverable-swaps/… Is that what you are referring to? $\endgroup$ – gladallen Apr 20 '16 at 23:37
  • $\begingroup$ Oh, I take them from Bloomberg. I bet they are in free services as well. I don't see anything obvious. Quandl has them as "OFDP/FUTURE_ED1 " but I don't know if they charge. $\endgroup$ – JoshK Apr 21 '16 at 20:58
  • $\begingroup$ And no, not the deliverable swaps. Those are pretty inactive as far as I know. Just the regular ED futures is what you want. It must be out there somewhere. $\endgroup$ – JoshK Apr 22 '16 at 19:18

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