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I'm a student and i amm looking for a swaps rates historical data for long tenors in purpose to estimate yield curve (for example in GBP). My question is where could I find it?

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  • $\begingroup$ Shouldn't the school provide necessary resources, like WRDS $\endgroup$ – Sergei Rodionov Jan 22 at 13:32
  • $\begingroup$ I wish they did... $\endgroup$ – WaK Jan 22 at 14:13
  • $\begingroup$ "where could I find it?" - Bloomberg, Reuters, investment banks' client websites...i.e. the usual sources. $\endgroup$ – user42108 Jan 22 at 17:05
  • $\begingroup$ I dont think i have access to thise sites as only student (without paying some extra money which i dont really have) $\endgroup$ – WaK Jan 22 at 17:50
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    $\begingroup$ write a nice email to Bloomberg, explaining exactly what you need and why, promising full and effusive citation. CC: a nice covering letter from your teacher/lecturer, explaining the need for the data . Promise to share your work based on their data with them before publication, if they would like; and IF they are interested thus, just get it published! Do the same with Thomson/Reuters at the same time, of course, ro hedge you bets! $\endgroup$ – demully Jan 23 at 3:46
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There are three ways:

  1. You can find the swap data in Bloomberg. Simply go to CRVF (Curve finder) and then narrow down to GBP where you can find the data.

  2. Alternately you can just type in GBP Swap 5Y and let Bloomberg's autofill do the work for you.

  3. Type in TTKL (Broker feed page for Tullet) and then move on to the region and then select the instrument as IRS and you can get the swap data from their as well. It includes historical data too. (Although note that for some periods in the past, there is no proper broker data so you might have to make do with Bloomberg Generic NY BGN or Bloomberg Calculated BLC3 pricing sources).

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