I want to bootstrap OIS zero-coupon bonds to the OIS rate but unfortunately I don't have any data.
Does anyone know where I can find the Libor rates and OIS rates?
1 Answer
$\begingroup$
$\endgroup$
Not sure what "OIS zero-coupon bonds" are but if you're looking for OIS swap rates, usual source is Bloomberg or Refinitiv Eikon ('TAFKA' Reuters). IDB's also sell data, e.g. https://www.tpinformation.com/.
If you don't have access to any of those, you can find some LIBOR rates here - https://www.global-rates.com/en/. You could also try https://fred.stlouisfed.org/. The Fed's H15 report used to have IRS data but that was discontinued in 2016; if you're after historical rather than current data, you might be able to find some in the old reports (https://www.federalreserve.gov/releases/h15/).
HTH.
FD, I have no affiliation with any of these sites/companies.
