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Forward Swap data
I know its a long shot, but due to a technical 'hitch' my data is a distant memory. Is there anyone who has a historical record of forward swap points on 2,5 and 10Y swaps across 1,3,6,12 month forward points? Thanks in advance for anyone who can help.
Forward Swap data
Or even anyone who knows where this data would be available?
Forward Swap data
QuoteOriginally posted by: TapiwaI know its a long shot, but due to a technical 'hitch' my data is a distant memory. Is there anyone who has a historical record of forward swap points on 2,5 and 10Y swaps across 1,3,6,12 month forward points? Thanks in advance for anyone who can help.I am not quite sure what you mean. spot swap rates are available, as are cash rates and futures, you strip a curve, and compute forward swap rates.
Forward Swap data
Well, it's just that I kept a record of forward rates, albeit from Bloomberg but I kept them nonetheless and I had a record going back quite far. I used it to look at forward rate vols etc etc, but I have recently lost the entire database. I was just wondering whether anyone else had kept a record of forward swap rates on the swaps and forward points I had mentioned.
Forward Swap data
QuoteOriginally posted by: TapiwaWell, it's just that I kept a record of forward rates, albeit from Bloomberg but I kept them nonetheless and I had a record going back quite far. I used it to look at forward rate vols etc etc, but I have recently lost the entire database. I was just wondering whether anyone else had kept a record of forward swap rates on the swaps and forward points I had mentioned.spot rates are easily available, why don't you just recompute the forward swap rates for the forward start dates that you want?
Forward Swap data
You are right, and I think that I will just do that. In my laziness, I guess I was looking for a nice point and click solution. Thanks for the replies.