[R-SIG-Finance] LIBOR Yield Curve.

Keith S Weintraub kw1958 at gmail.com
Fri Dec 18 17:06:36 CET 2015


Recently I lost my access to LIBOR rates from a large financial institution.

I was able to retrieve the values on any given day in the following form:
(Note that I am using plain text here):

ISIN Bond Name, Maturity, Swap NYK
USD Swap 3m, 0.247, 0.372
USD Swap 6m, 0.493, 0.462
USD Swap 9m, 0.740, 0.549
USD Swap 1y, 1.000, 0.626
USD Swap 2y, 2.000, 0.939
USD Swap 3y, 3.000, 1.211
USD Swap 4y, 4.000, 1.430
USD Swap 5y, 5.000, 1.607
USD Swap 10y, 10.000, 2.158
USD Swap 11y, 11.000, 2.226
USD Swap 50y 50.000, 2.641

I have the following questions:
1) I looked at FRED data and I wonder if anyone can tell me what and why the differences between: 
       USD12MD156N (12-Month London Interbank Offered Rate (LIBOR), based on U.S. Dollar©) 
       DSWP1 (1-Year Swap Rate)

For the date 2015-11-30 FRED has 0.9806 for USD12MD156N and 0.69 for DSWP1

2) Is there a reliable place to download LIBOR yield curve data?
3) I have been using the SmithWilson package. Note that at most I need the (closing) rates daily. Any better ideas?
4) It would be ideal if I could get GBP and EUR as well.

Thanks so much for your time,

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