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 <armstrong.w...@gmail.com> 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 <kw1...@gmail.com> 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
>
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