Can anybody confirm how the average interest rates by currency is calculated as per Basel SRP98? Please scroll down to 98.57 to see the table for different currencies.
Step 1: generate a 16-year time series of daily average interest rates for each currency c. The average daily interest rates from the year 2000 (3 January 2000) to 2015 (31 December 2015) are contained in Table 1. The average local percentile of the rate series is determined by calculating the average rate across all daily rates in time buckets 3m, 6m, 1Y, 2Y, 5Y, 7Y, 10Y, 15Y and 20Y.
How the values in the Table 1 are generated? Is this an average of simple daily averages across maturity buckets?