LIBOR/EURIBOR and Zero Swap Curves

jonstan1984 · January 12th, 2009, 5:01 am

Hi,Can Anyone help me in finding these two data as on a particular date.3M USD LIBOR Zero Swap Curve3M Euribor Zero Swap CurveAny idea from where we can source this data. We require the same for the dates in November and December 2008.Thanks,John Stanley

Martinghoul · January 12th, 2009, 6:30 am

Bloomberg?

jonstan1984 · January 14th, 2009, 4:32 am

Well, I tried bloomberg, but as it needs subscription was not able to get anythin useful from there........Any other site that can provice such information

Curves · January 14th, 2009, 7:40 am

google it!i found this public domain website. http://www.swap-rates.com/USSwap.htmlISDA should also have some public info on the daily fixings.

imitov · January 18th, 2009, 12:46 pm

Hi,Try these links:USD LIBOR 3M (TICKER: US0003M Index): http://bloomberg.com/apps/quote?ticker=US0003M:IND 3M EURIBOR (TICKER: EUR003M Index): http://bloomberg.com/apps/quote?ticker=EUR003M:INDMaybe there is a way to download the time series in an appropriate format. I am not sure.Best,Ivan Mitov

GP03 · January 22nd, 2009, 6:44 am

guess bloomberg doesnt work in this case, u may ask someone working in banks for helpthis is just the way in which i used to get the option data with different strikes and maturitiesas long as market data is available (i mean the related trading price has been kept and published within the bank)anyway, finding data is always hard