For the date 2015-11-30 FRED has 0.9806 for USD12MD156N and 0.69 for DSWP1
2) Is there a reliable place to download LIBOR yield curve data?
3) I have been using the SmithWilson package. Note that at most I need the (closing) rates daily. Any better ideas?
4) It would be ideal if I could get GBP and EUR as well.
I'm not sure what you consider 'reliable' but bbg is usually good enough.
buy some icap or superD data if you want something high quality, or get it
directly from your brokers and take the weighted avg.
(just change the curve id below to use the USD libor curve, and you should
be all set)
On 12/19/2015 6:00 AM, [hidden email] wrote:
> LIBOR Yield Curve.
Here is a markdown file I use to print out a list of recent LIBOR
rates. The URL and code might be of help. I recognize too that it may
not be the most elegant/efficient, but it has worked for my ad hoc purposes