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I am struggling to find future interest rates for various tenors:

**EUR:

  • Eonia OIS rates: O/N (fixing), 1W, (2W), 1M, 3M, 6M, (9M), 12M
  • Euribor rates: 1W, (2W), 1M, 3M, 6M, (9M), 12M, 18M, 2Y

NOTE: from 1 oct 20 EONIA will switch into ESTER

GBP:

  • SONIA OIS
  • GBP LIBOR.

USD:

  • FED FUNDS OIS
  • USD LIBOR.

JPY:

  • TONA OIS
  • JPY LIBOR

Rates should be interpolated/extrapolated

if you happen to be familiar with these rates provide me with tickers if it's possible because i have found only historical data in bloomberg

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    $\begingroup$ Would check this with the helpdesk. $\endgroup$
    – oronimbus
    Sep 17, 2020 at 15:28

3 Answers 3

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I believe FWCM <GO> will give you what you want (Forward Curve Matrix). You can select a curve and then get the forwards by Tenor and Start Date.

Or use the BCurveStrip and BCurveFwd in Excel.

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Look on the BTMM page for the respective countries (the country can be changed with the dropdown menu). Hover your mouse over the rate for which you are interested and a window will pop up with the ticker.

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WCV is a helpful starting point for rates / FX / vols.

For "interpolated/extrapolated" rates (not necessary for all tenors), you can try CRVF (curve finder) and then pick currency and appropriate curve.

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