0
$\begingroup$
  • Getting overnight-to-12 month LIBOR on Bloomberg is easy.
  • Had difficulty finding GBP futures (range of maturities) on Bloomberg. Any tips (both USD and GBP)?
  • Swaps (maturities all the way to 30 years) data seems available, but if you have any specific products that you use (findable on Bloomberg), would appreciate a mention.
  • I will need historic data for futures and swaps going back 10 years.
  • I know the world is shifting from LIBOR to SOFR, but I want all the data to be for LIBOR -- this is not for a live system but for a research project.

Generally my single-day quote table should look something like this:

enter image description here

$\endgroup$
3
  • $\begingroup$ What tenor do you want to price? $\endgroup$
    – JoshK
    Sep 8 '20 at 3:19
  • $\begingroup$ @JoshK Not sure I understand why tenor is relevant. I am not trying to price; just building a curve. $\endgroup$ Sep 8 '20 at 15:41
  • $\begingroup$ Different tenors need different reference instruments. Pricing 30y LIBOR swaps is way different form 1y1y fwds. $\endgroup$
    – JoshK
    Sep 8 '20 at 16:20

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.