I am trying to collect data I could use for calibration of a short-rate modeling process, so I need data which represents the historical short-rates.
It turns out they are not the same. For example, on the 31 May 2017 the UK nominal 3-month spot rate was 0.04, and the 3-months UK treasury bill discount rate was 0.0575. Also, in the 3-months UK nominal spot rate table, values of 3-months spots are actually mostly not given.
I don't understand what is the difference between these two values, and which ones should I use for my historical data?
Many thanks for any insights on this.