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Happy Hopping
Registered: Oct 2006
Posts: 252 |
08-30-12 10:46 AM
besides Bloomberg, because they just kill it:
Thank you for getting in touch. Unfortunately, the data that you're inquiring
about will not be available in the future on Bloomberg.com; it will remain
available on the Bloomberg Professional Service. This index will be removed from
the mobile web and mobile apps soon, as well.
Sincerely, Bloomberg Website Feedback Team
====================
what I really want is the daily Libor OIS 3 mth. spread, which has been discontinued by bloomberg
so I take this no.
http://www.bloomberg.com/quote/US0003M:IND
and supposed subtract Libor OIS 3 mth. to obtain Libor OIS 3 mth. spread.
so I need another web site that carries the daily data of the above. Any1?
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Happy Hopping
Registered: Oct 2006
Posts: 252 |
08-31-12 06:53 AM
http://www.cnbc.com/id/26905693
I found the above. I just want to be sure that I have the right number:
I want the Libor-OIS closed at 0.3126 basis point. A few days ago, it should be around 0.29485 basis point.
From that CNBC link, if I take:
LIBOR 3 Month 0.4208
subtract
LIBOR OverNight 0.1514
shouldn't that be Libor-OIS, in this case: 0.4208-0.1514 = 0.2694
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Martinghoul
Registered: Jan 2009
Posts: 5641 |
08-31-12 08:32 AM
No, that's not LIBOR-OIS... LIBOR-OIS is a spread between 3M LIBOR and 3M Overnight Index Swap (OIS) rate. It is not the spread between 3M LIBOR and O/N LIBOR (that would be a very wrong spread to calculate).
Currently (as of last night's close), LIBOR-OIS is arnd 29bps (3M LIBOR 42.075bps, 3M OIS 13bps).
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sle
Registered: Apr 2003
Posts: 1609 |
08-31-12 05:53 PM
You can build an OIS curve from the FF futures, that's no rocket surgery (or even build both LIBOR and OIS curves and have forward measures)....
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Martinghoul
Registered: Jan 2009
Posts: 5641 |
08-31-12 06:09 PM
Quote from sle:
You can build an OIS curve from the FF futures, that's no rocket surgery (or even build both LIBOR and OIS curves and have forward measures)....
More like brain science, for sure...
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