interest rate differential

Discussion in 'Trading' started by aPismoClam, May 1, 2006.

  1. yo,

    I'm looking to track interest rate differentials for EU and JY vs. Dollar.

    Can anyone put me on the the data?

  2. Pabst


    The data you need is easily found. Futures contracts in Euribor, Euroyen (TIBOR) and the CME Eurodollar will show you the rate differentials on 3mo rates in those currencies.
  3. dealer


    Agree with Pabst. Exchange traded 3m forward rates are a good place to start.

    For longer term analysis you will need to avoid the discontinuities caused by changing contracts. You can do this by log-linear interpolation to obtain constant forward rates. e.g. a constant x_mth rate, y_mths forwards. Can easily be done in excel once you have the underlying data....

    If you have access to a bloomberg terminal you can also compare bond yields. Generic bond yields with constant maturity are best. An even better approach would be to compare swap curves (spot and forward) in the various currencies.
  4. thx guys. i'm doing a lot of dx, and i want to see trends in rate differentials.
  5. Another quick and easy, although dealer-specific, way to review IRD trends over the last few years would be to look up Oanda's historical and current rates:

    Click on the link in the 2nd paragraph... still the same URL as above, but now you get a self-explanatory form window. Bid (annual % rate) = credit received when long that currency; ask (ditto) = debit charged when short that currency.
  6. rosy


  7. rosy, are you talking about ISDAFIX and if so, can I find forward data for under 1 yr?