Serving the Quantitative Finance Community

 
User avatar
sudhakar682
Topic Author
Posts: 7
Joined: June 24th, 2003, 5:32 pm

3-month LIBOR returns

June 3rd, 2004, 7:37 pm

Where do I get historical LIBOR monthly returns (not yields) going back 30 years?
 
User avatar
nazzdack
Posts: 0
Joined: March 3rd, 2004, 9:50 am

3-month LIBOR returns

June 11th, 2004, 4:44 pm

Contact the: New York Fed, Bank of England, British Bankers Association, Citicorp, Goldman Sachs and/or a European Primary Dealer. One of them is bound to have the info you're looking for.
 
User avatar
daveangel
Posts: 5
Joined: October 20th, 2003, 4:05 pm

3-month LIBOR returns

June 11th, 2004, 5:57 pm

if u have the yields can't you work out the returns ?
knowledge comes, wisdom lingers
 
User avatar
Gmike2000
Posts: 0
Joined: September 25th, 2003, 9:49 pm

3-month LIBOR returns

June 13th, 2004, 3:16 pm

Merrill Lynch has an index for Libor. Use that.Otherwise do the calc yourself: Dur * rate change + yield/360 is the method they use i think
Last edited by Gmike2000 on June 12th, 2004, 10:00 pm, edited 1 time in total.