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I want to get data of Overnight Index Swap, also known as OIS rate, there is any public why to get this always from yesterday?

For example, I want to get EFFR(Effective Federal Funds Rate), I can get here: https://fred.stlouisfed.org/series/EFFR

Some one give a light of how to solve my problem. I am trying to solve price for FX Option, what I did, I just have to adjust the OIS rate for differal time and I done my job.

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  • $\begingroup$ Pretty sure market provide it for free via an api - you get a zipped xml if I recall correctly. $\endgroup$
    – will
    Apr 3, 2017 at 19:58
  • $\begingroup$ I am looking for it, but I am really inexperient about the data. I didn't find yet; $\endgroup$
    – Filipe Cotrim Melo
    Apr 3, 2017 at 21:09
  • $\begingroup$ Really would like a help here or a direction. :) $\endgroup$
    – Filipe Cotrim Melo
    Apr 6, 2017 at 18:28

3 Answers 3

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So you can get depo and swap rates from markit daily, at links like this:

http://www.markit.com/news/InterestRates_<cncy>_<yyyymmdd>.zip

i.e.

http://www.markit.com/news/InterestRates_USD_20170105.zip

and there's a spec for it here - though that's from 2009 so may be out of date, maybe you can find a more up to date one someone on their site, but i've noot been able to inside of a few minutes of googling.

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  • $\begingroup$ Unfortunately I can't up you because I don't have pontuation. I will look the site, but thank you man $\endgroup$
    – Filipe Cotrim Melo
    Apr 7, 2017 at 21:16
  • $\begingroup$ @FilipeCotrimMelo don't worry about it. $\endgroup$
    – will
    Apr 7, 2017 at 21:16
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CME (as of now) also publishes it.

Folder: ftp://ftp.cmegroup.com/irs/

file name: irs_close_quotes_OISUSD_YYYYMMDD.csv, e.g. 20200717

CURVE_NAME,TENOR,RATE
USD LIBOR-OIS DISCOUNT CURVE,2 Years,0.0033500000
USD LIBOR-OIS DISCOUNT CURVE,3 Years,0.2200000000
USD LIBOR-OIS DISCOUNT CURVE,5 Years,0.2212830000
USD LIBOR-OIS DISCOUNT CURVE,10 Years,0.2172810000
USD LIBOR-OIS DISCOUNT CURVE,30 Years,0.1971580000

there are many other curves for other currencies in this folder.

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Go to this site and download the application that contains OIS curves for all major currencies at https://finpricing.com/download.htmlOIS and Swap curves

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    $\begingroup$ Thus requires signing up for the service using your email address (which I prefer not to give out). $\endgroup$
    – nbbo2
    Jul 19, 2020 at 3:13

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