due to a calculation I have to make I need the OIS 3 MONTHS for the ECB. I tried searching for data for 3 months EONIA but I could not find anything.
Can someone help me with this? if not can I use the EURIBOR 3 months?
2 Answers
$\begingroup$
$\endgroup$
There is a dynamic basis spread between 3M EONIA and 3M EURIBOR. It is consistently a few basis points and that might be negligible enough for 'your calculation' but maybe it isn't.
3M EONIA is saved data by brokers and is available in Bloomberg and possibly the St Louis Fed.
Note that you cannot find daily OIS data and compound the data because that is time inconsistent with what you need.
$\begingroup$
$\endgroup$
There's a limited amount of historical data available here: https://www.global-rates.com/en/interest-rates/eonia/eonia.aspx.
