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rockinsquat
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Joined: March 20th, 2009, 6:51 pm

Maturity of a libor rate in Bloomberg

June 20th, 2011, 8:28 am

Hi guys,I came to this with Bloomberg ; let's say I have the following list of tickers of "LIBOR" rates :EONIA Eonia Overnight Index AverageEUR001W 1W ACT 360EUR001M 1M ACT 360EUR002M 2M ACT 360EUR003M 3M ACT 360EUR004M 4M ACT 360EUR005M 5M ACT 360EUR006M 6M ACT 360EUR007M 7M ACT 360EUR008M 8M ACT 360EUR009M 9M ACT 360EUR010M 10M ACT 360EUR011M 11M ACT 360EUR012M 12M ACT 360US00O/N LIBOR USD O/NUSDR2T ETATS-UNIS/DOLLAR TAUX DEPOT TUS0001W LIBOR USD 1WUS0002W LIBOR USD 2WUS0001M LIBOR USD 1MUS0002M LIBOR USD 2MUS0003M LIBOR USD 3MUS0004M LIBOR USD 4MUS0005M LIBOR USD 5MUS0006M LIBOR USD 6MUS0007M LIBOR USD 7MUS0008M LIBOR USD 8MUS0009M LIBOR USD 9MUS0010M LIBOR USD 10MUS0011M LIBOR USD 11MUS0012M LIBOR USD 12MJY0001W LIBOR JPY 1WJY0001M LIBOR JPY 1MJY0002M LIBOR JPY 2MJY0003M LIBOR JPY 3MJY0004M LIBOR JPY 4MJY0005M LIBOR JPY 5MJY0006M LIBOR JPY 6MJY0007M LIBOR JPY 7MJY0008M LIBOR JPY 8MJY0009M LIBOR JPY 9MJY0010M LIBOR JPY 10MJY0011M LIBOR JPY 11MJY0012M LIBOR JPY 12MBP00O/N BBA LIBOR GBP O/NBP0001W BBA LIBOR GBP 1WBP0001M LIBOR GBP 1MBP0002M LIBOR GBP 2MBP0003M LIBOR GBP 3MBP0004M LIBOR GBP 4MBP0005M LIBOR GBP 5MBP0006M LIBOR GBP 6MBP0007M LIBOR GBP 7MBP0008M LIBOR GBP 8MBP0009M LIBOR GBP 9MBP0010M LIBOR GBP 10MBP0011M LIBOR GBP 11MBP0012M LIBOR GBP 12MNKDR1T NORVEGE/KRONE TAUX DEPOT O/NNIBOR1W Norway IBOR 1WNIBOR2W Norway IBOR 2WNIBOR1M Norway IBOR 1mNIBOR2M Norway IBOR 2MNIBOR3M Norway IBOR 3MNIBOR6M Norway IBOR 6MNIBOR9M Norway IBOR 9MSFDR1T SUISSE/FRANC TAUX DEPOT O/NSF0001W LIBOR CHF 1WSF0001M LIBOR CHF 1MSF0002M LIBOR CHF 2MSF0003M LIBOR CHF 3MSF0004M LIBOR CHF 4MSF0005M LIBOR CHF 5MSF0006M LIBOR CHF 6MSF0007M LIBOR CHF 7MSF0008M LIBOR CHF 8MSF0009M LIBOR CHF 9MSF0010M LIBOR CHF 10MSF0011M LIBOR CHF 11MSF0012M LIBOR CHF 12MADDR1T AUSTRALIE/DOLLAR TAUX DEPOT O/AU0001W BBA LIBOR AUD 1WADBB1M #N/A N.A.ADBB2M #N/A N.A.ADBB3M #N/A N.A.ADBB4M #N/A N.A.ADBB5M #N/A N.A.ADBB6M #N/A N.A.CCLR Canada Call RateLOAN RATECDOR01 CAD-BA-CDOR 1MCDOR02 CAD-BA-CDOR 2MCDOR03 CAD-BA-CDOR 3MCDOR06 CAD-BA-CDOR 6MCDOR12 CAD-BA-CDOR 12MDKDR1T DANEMARK/KRONE TAUX DEPOT O/NDKDR2T DANEMARK/KRONE TAUX DEPOT T/NDKDR3T DANEMARK/KRONE TAUX DEPOT S/NCIBO01M Copenhagen IBOR 1MCIBO02M Copenhagen IBOR 2MCIBO03M Copenhagen IBOR 3MCIBO04M Copenhagen IBOR 4MCIBO05M Copenhagen IBOR 5MCIBO06M Copenhagen IBOR 6MCIBO09M Copenhagen IBOR 9MNDBB1M #N/A N.A.NDBB2M #N/A N.A.NDBB3M #N/A N.A.NDBB4M #N/A N.A.NDBB5M #N/A N.A.NDBB6M #N/A N.A.STIB1D Stockholm Interbank Tom NextSTIB1W Stockholm Interbank 1WSTIB1M Stockholm Interbank 1MSTIB2M Stockholm Interbank 2MSTIB3M Stockholm Interbank 3MSTIB6M Stockholm Interbank 6MSTIB9M Stockholm Interbank 9MSTIB1Y Stockholm Interbank 1YMXIBTIIE MEXICO INTERBANKTIIE-28DAYEONIA Eonia Overnight Index AverageFEDL01 Federal Funds EffectiveSONIO/N SONIA SWAPMUTSCALM BOJ Estimate O/N CALLCAONREPO CANADIAN O/N REPO RATE("TICKER" field in the left column and "SECURITY_NAME" field on the right one) and I want, for some reasons, to associate to each LIBOR its maturity (real (i.e. a date) or generic (i.e. 1W or 6M or whatever). For some stupid reasons, there's no kind of maturity field for LIBOR rates on Bloomberg, but there is for swap rates (the fields "MTY_YEARS" or "MTY_YEARS_TDY" as well). I would like to know if some of you have already came to this issue, and how they've solved it, if they did.Of course I see the "stupid" brute force solution : for each let's say generic maturity T, like 1D, 3W, 9M or 1Y, list all kinds of strings that Bloomberg add the ticker or the security_name (or whatever useful bloomberg field) for emphasizing that the libor is T, and then, in my list, look for all this kinds for deciding what matuirty the libor has.Thank you all
 
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eye51
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Joined: August 5th, 2003, 11:35 am

Maturity of a libor rate in Bloomberg

June 23rd, 2011, 1:11 pm

Hi,I would be curious to know if you found anything get this info. I just used the brute-force way because it is faster then using <HELP> <HELL>