[R-SIG-Finance] Interest rate

[Johnson, Cedrick W.]

depends... you could use the midpt price or bid/offer depending on which 
side you are on.

i'll defer to the r-sig-finance pricing dept on the merits of b/a/m for 
modelling though..

-c

On 07/19/2010 09:04 AM, Megh Dal wrote:
> Dear all, I need to price some derivatives therefore need the risk free interest rate. Anyways I decided, I will take 1-month LIBOR reported on FT. From this site "http://markets.ft.com/ft/markets/researchArchive.asp?report=OINT&cat=BR" if I select "Choose a Category -->>  Bonds&  rate" and "Choose a Report -->>  International money market rate", for the date july-01, 2010 I get Interest rate quote as "0.46 - 0.24"
>
> Here my question is what is the meaning of this pair of numbers? Are they LIBID&  LIBOR (smaller one is LIBOR) respectively?
>
> So for pricing derivative should I take "0.24%" after converting it cont. compounded? Or should I take average of those 2 numbers?
>
> Your help will be highly appreciated.
>
> Thanks and regards,
>
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