[R-SIG-Finance] LIBOR Yield Curve.

[Whit Armstrong]

I'm not sure what you consider 'reliable' but bbg is usually good enough.
 buy some icap or superD data if you want something high quality, or get it
directly from your brokers and take the weighted avg.

(just change the curve id below to use the USD libor curve, and you should
be all set)

warmstrong at krypton:~$ R
> library(Rblpapi)
> bds("YCGT0111
Index","CURVE_TENOR_RATES",overrides=c("CURVE_DATE"="20151218"))
   Ask Yield Bid Yield Last Update Mid Yield Tenor  Tenor Ticker
1      0.163     0.168  2015-12-18     0.165    1M 912796GX Govt
2      0.183     0.188  2015-12-18     0.186    3M 912796HG Govt
3      0.443     0.448  2015-12-18     0.446    6M 912796HX Govt
4      0.659     0.664  2015-12-18     0.661    1Y 912796HU Govt
5      0.960     0.964  2015-12-18     0.962    2Y 912828M7 Govt
6      1.279     1.282  2015-12-18     1.281    3Y 912828N2 Govt
7      1.529     1.537  2015-12-18     1.533    4Y 912828G6 Govt
8      1.676     1.678  2015-12-18     1.677    5Y 912828M9 Govt
9      1.872     1.875  2015-12-18     1.874    6Y 912828G5 Govt
10     2.005     2.007  2015-12-18     2.006    7Y 912828M8 Govt
11     2.069     2.073  2015-12-18     2.071    8Y 912828WE Govt
12     2.186     2.188  2015-12-18     2.187    9Y 912828G3 Govt
13     2.200     2.202  2015-12-18     2.201   10Y 912828M5 Govt
14     2.424     2.428  2015-12-18     2.426   15Y 912810FP Govt
15     2.557     2.559  2015-12-18     2.558   20Y 912810FT Govt
16     2.798     2.800  2015-12-18     2.799   25Y 912810QL Govt
17     2.916     2.917  2015-12-18     2.916   30Y 912810RP Govt


On Fri, Dec 18, 2015 at 11:06 AM, Keith S Weintraub <kw1958 at gmail.com>
wrote:

> Folks,
>
> 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©)
> and
>        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,
> Best,
> KW
>
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