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miscelania
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Joined: April 1st, 2009, 6:05 am

IRS or basis swaps Market data?

April 17th, 2012, 4:39 pm

Hello,I wonder if a trader or somebody used to deal with interest rate market data knows whether there exists quotes for the following IRS or if these IRS are constructed using basis swaps (and which basis swaps are used in each case).IRS where the floating leg is indexed to Euribor 3MIRS where the floating leg is indexed to Euribor 6MIRS where the floating leg is indexed to Euribor 1mIRS where the floating leg is indexed to Euribor 12MI also wonder if anybody knows whether there exists quotes for all the basis swaps below, and if anybody knows the source (I tried to find those quotes in Blmbg and I could only find one of them):Eonia vs Euribor 3MEonia vs Euribor 6MEonia vs Euribor 1MEonia vs Euribor 12MI would appreciate any help.Thank you,
 
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seventwooff
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Joined: February 11th, 2009, 9:30 am

IRS or basis swaps Market data?

April 17th, 2012, 5:34 pm

EUR IRS quotes directly against 1m, 3m, 6m - 3m, 6m Eonia basis versus 3m Euribor is liquid...not sure of the rest...
 
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miscelania
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Joined: April 1st, 2009, 6:05 am

IRS or basis swaps Market data?

April 17th, 2012, 5:57 pm

QuoteOriginally posted by: seventwooffEUR IRS quotes directly against 1m, 3m, 6m - 3m, 6m Eonia basis versus 3m Euribor is liquid...not sure of the rest...Ok thanks.What do you mean by EUR IRS quotes 6m-3m?How do you know about liquidity? from Blmbg? Is it possible to know about volumes concerning basis swaps? (it's OTC market right?)Thanks again
 
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rmax
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Joined: December 8th, 2005, 9:31 am

IRS or basis swaps Market data?

April 18th, 2012, 7:10 am

Quote(it's OTC market right?)For now...