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221991
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Posts: 2
Joined: August 8th, 2018, 1:01 am

Yield Curve construction help : DATA

August 8th, 2018, 1:43 am

Hi everyone, first time poster.

I have recently started reading up on yield curve construction practices (in post crisis framework, both with OIS discounting and LIBOR discounting) and ran across a few books that have helped make things clearer for me ( Marco Bianchetti's "Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping But Were Afraid To Ask" and the Quantlib Python cookbook). In order to try to put into practice what I am reading I had been looking for market data similar to that of the book but cannot find it online (i do not work in the industry and so have no access to BBG or Reuters data).

And so I was wondering where can i find all the necessary data for me to be able to build a somewhat professional/realistic yield curve. I do know that FRED has EFFR and the CME has Fed fund futures but i still do not have the OIS rates for 3,4,5,6,7,10 yr etc . For some countries like australia some OIS rates are available but data sets are qually hard to find.

I am not looking for today's data or anything , just working on a project where i can develop a process that can be compared to others, and if i am able to get any interviews in the future, show that I have taken the initiative to figure things out by myself.

any help is much appreciated,

Best regards
A.
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221991
Topic Author
Posts: 2
Joined: August 8th, 2018, 1:01 am

Re: Yield Curve construction help : DATA

August 13th, 2018, 12:48 am

I'm seeing that this thread is still not alive, I have a hard time believing that students or people not in the industry are paying for high end vendor data at 1000$+ a month.

Can anyone chime in on the places that they've found to be useful to get yc-building instrument data (no matter how outdated, as long as it's real world) ? while playing around with the quotes what were some quirks that youv'e found etc ? With that data set what are some tricky projects you were able to do that helped you in your job (later on) in unexpected ways ?

thanks,
Mr. A