LIBOR Yield Curve.

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LIBOR Yield Curve.

Keith S Weintraub
Folks,

Recently I lost my access to LIBOR rates from a large financial institution.

I was able to retrieve the values on any given day in the following form:
(Note that I am using plain text here):

ISIN Bond Name, Maturity, Swap NYK
USD Swap 3m, 0.247, 0.372
USD Swap 6m, 0.493, 0.462
USD Swap 9m, 0.740, 0.549
USD Swap 1y, 1.000, 0.626
USD Swap 2y, 2.000, 0.939
USD Swap 3y, 3.000, 1.211
USD Swap 4y, 4.000, 1.430
USD Swap 5y, 5.000, 1.607
  ...
USD Swap 10y, 10.000, 2.158
USD Swap 11y, 11.000, 2.226
 ...
USD Swap 50y 50.000, 2.641

I have the following questions:
1) I looked at FRED data and I wonder if anyone can tell me what and why the differences between:
       USD12MD156N (12-Month London Interbank Offered Rate (LIBOR), based on U.S. Dollar©)
and
       DSWP1 (1-Year Swap Rate)

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.

Thanks so much for your time,
Best,
KW

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Re: LIBOR Yield Curve.

Whit Armstrong-3
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)

warmstrong@krypton:~$ R
> library(Rblpapi)
> bds("YCGT0111
Index","CURVE_TENOR_RATES",overrides=c("CURVE_DATE"="20151218"))
   Ask Yield Bid Yield Last Update Mid Yield Tenor  Tenor Ticker
1      0.163     0.168  2015-12-18     0.165    1M 912796GX Govt
2      0.183     0.188  2015-12-18     0.186    3M 912796HG Govt
3      0.443     0.448  2015-12-18     0.446    6M 912796HX Govt
4      0.659     0.664  2015-12-18     0.661    1Y 912796HU Govt
5      0.960     0.964  2015-12-18     0.962    2Y 912828M7 Govt
6      1.279     1.282  2015-12-18     1.281    3Y 912828N2 Govt
7      1.529     1.537  2015-12-18     1.533    4Y 912828G6 Govt
8      1.676     1.678  2015-12-18     1.677    5Y 912828M9 Govt
9      1.872     1.875  2015-12-18     1.874    6Y 912828G5 Govt
10     2.005     2.007  2015-12-18     2.006    7Y 912828M8 Govt
11     2.069     2.073  2015-12-18     2.071    8Y 912828WE Govt
12     2.186     2.188  2015-12-18     2.187    9Y 912828G3 Govt
13     2.200     2.202  2015-12-18     2.201   10Y 912828M5 Govt
14     2.424     2.428  2015-12-18     2.426   15Y 912810FP Govt
15     2.557     2.559  2015-12-18     2.558   20Y 912810FT Govt
16     2.798     2.800  2015-12-18     2.799   25Y 912810QL Govt
17     2.916     2.917  2015-12-18     2.916   30Y 912810RP Govt


On Fri, Dec 18, 2015 at 11:06 AM, Keith S Weintraub <[hidden email]>
wrote:

> Folks,
>
> Recently I lost my access to LIBOR rates from a large financial
> institution.
>
> I was able to retrieve the values on any given day in the following form:
> (Note that I am using plain text here):
>
> ISIN Bond Name, Maturity, Swap NYK
> USD Swap 3m, 0.247, 0.372
> USD Swap 6m, 0.493, 0.462
> USD Swap 9m, 0.740, 0.549
> USD Swap 1y, 1.000, 0.626
> USD Swap 2y, 2.000, 0.939
> USD Swap 3y, 3.000, 1.211
> USD Swap 4y, 4.000, 1.430
> USD Swap 5y, 5.000, 1.607
>   ...
> USD Swap 10y, 10.000, 2.158
> USD Swap 11y, 11.000, 2.226
>  ...
> USD Swap 50y 50.000, 2.641
>
> I have the following questions:
> 1) I looked at FRED data and I wonder if anyone can tell me what and why
> the differences between:
>        USD12MD156N (12-Month London Interbank Offered Rate (LIBOR), based
> on U.S. Dollar©)
> and
>        DSWP1 (1-Year Swap Rate)
>
> 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.
>
> Thanks so much for your time,
> Best,
> KW
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.

        [[alternative HTML version deleted]]

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Re: LIBOR Yield Curve.

Keith S Weintraub
Wouldn’t I need a Bloomberg password/account/terminal?

In addition I got some errors just trying to install the software on my Mac.

Sorry that I did not mention that I was on a Mac.
---
KW

PS I was able to download the software on my Windows (via Parallels) but the command blpConnect() doesn’t work. Again I think it is because I don’t have Bloomberg.





> On Dec 18, 2015, at 11:32 AM, Whit Armstrong <[hidden email]> wrote:
>
> 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)
>
> warmstrong@krypton:~$ R
> > library(Rblpapi)
> > bds("YCGT0111 Index","CURVE_TENOR_RATES",overrides=c("CURVE_DATE"="20151218"))
>    Ask Yield Bid Yield Last Update Mid Yield Tenor  Tenor Ticker
> 1      0.163     0.168  2015-12-18     0.165    1M 912796GX Govt
> 2      0.183     0.188  2015-12-18     0.186    3M 912796HG Govt
> 3      0.443     0.448  2015-12-18     0.446    6M 912796HX Govt
> 4      0.659     0.664  2015-12-18     0.661    1Y 912796HU Govt
> 5      0.960     0.964  2015-12-18     0.962    2Y 912828M7 Govt
> 6      1.279     1.282  2015-12-18     1.281    3Y 912828N2 Govt
> 7      1.529     1.537  2015-12-18     1.533    4Y 912828G6 Govt
> 8      1.676     1.678  2015-12-18     1.677    5Y 912828M9 Govt
> 9      1.872     1.875  2015-12-18     1.874    6Y 912828G5 Govt
> 10     2.005     2.007  2015-12-18     2.006    7Y 912828M8 Govt
> 11     2.069     2.073  2015-12-18     2.071    8Y 912828WE Govt
> 12     2.186     2.188  2015-12-18     2.187    9Y 912828G3 Govt
> 13     2.200     2.202  2015-12-18     2.201   10Y 912828M5 Govt
> 14     2.424     2.428  2015-12-18     2.426   15Y 912810FP Govt
> 15     2.557     2.559  2015-12-18     2.558   20Y 912810FT Govt
> 16     2.798     2.800  2015-12-18     2.799   25Y 912810QL Govt
> 17     2.916     2.917  2015-12-18     2.916   30Y 912810RP Govt
>
>
> On Fri, Dec 18, 2015 at 11:06 AM, Keith S Weintraub <[hidden email]> wrote:
> Folks,
>
> Recently I lost my access to LIBOR rates from a large financial institution.
>
> I was able to retrieve the values on any given day in the following form:
> (Note that I am using plain text here):
>
> ISIN Bond Name, Maturity, Swap NYK
> USD Swap 3m, 0.247, 0.372
> USD Swap 6m, 0.493, 0.462
> USD Swap 9m, 0.740, 0.549
> USD Swap 1y, 1.000, 0.626
> USD Swap 2y, 2.000, 0.939
> USD Swap 3y, 3.000, 1.211
> USD Swap 4y, 4.000, 1.430
> USD Swap 5y, 5.000, 1.607
>   ...
> USD Swap 10y, 10.000, 2.158
> USD Swap 11y, 11.000, 2.226
>  ...
> USD Swap 50y 50.000, 2.641
>
> I have the following questions:
> 1) I looked at FRED data and I wonder if anyone can tell me what and why the differences between:
>        USD12MD156N (12-Month London Interbank Offered Rate (LIBOR), based on U.S. Dollar©)
> and
>        DSWP1 (1-Year Swap Rate)
>
> 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.
>
> Thanks so much for your time,
> Best,
> KW
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.
>

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Re: LIBOR Yield Curve.

Matt Considine
In reply to this post by Keith S Weintraub
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
Matt

---
title: "LIBOR"
output: pdf_document
---

```{r echo=FALSE, message=FALSE, warning=FALSE, results='asis'}
library(Quandl)
library(quantmod)
library(XML)
library(lubridate)
library(xtable)

currentDate <- Sys.Date()
eopm <- currentDate - days(day(currentDate))
sopm <- currentDate - days(day(currentDate))
sopm <- sopm - days(day(sopm) - 1)
##for just latest date
##eopm <- currentDate
##sopm <- currentDate - days(day(currentDate))
LIBOR <- getSymbols(src="FRED",Symbols=c("USD1MTD156N","USD3MTD156N"))

all_webpage     <-
'http://www.global-rates.com/interest-rates/libor/american-dollar/american-dollar.aspx'

all_web.table = readHTMLTable(all_webpage, header=T, which=14,
stringsAsFactors=F)

all_data <- gsub("[^a-zA-Z0-9\\.\\ -]","",as.matrix(all_web.table[,]))
colnames(all_data) <- c("data",colnames(all_data[,2:ncol(all_data)]))
all_dates <- as.Date(colnames(all_data[,2:ncol(all_data)]), "%m-%d-%Y")

datarows <- c(match("USD LIBOR - 1 month",all_data[,1]),match("USD LIBOR
- 3 months",all_data[,1]))

newdata <- as.xts(t(all_data[datarows,2:ncol(all_data)]),
order.by=all_dates)
colnames(newdata) <- LIBOR
storage.mode(newdata)<-"numeric"

LIBORdata <- cbind(USD1MTD156N,USD3MTD156N)
newdata2 <- rbind(LIBORdata,newdata)
newdata2 <- newdata2[!duplicated(index(newdata2))]
colnames(newdata2) <- c("1mo LIBOR","3mo LIBOR")

datablock <- newdata2[paste(sopm,"::",eopm,sep=''),]
newdatablock <- as.matrix(datablock)[NROW(datablock):1,,drop=FALSE]

print(xtable(newdatablock,digits=5),floating=TRUE,comment=FALSE,type="latex")
```



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