Where else can you get Libor OIS

Discussion in 'Economics' started by Happy Hopping, Aug 30, 2012.

  1. 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.


    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?
  2. It ain't there, but you can, kinda sorta, build it...

    LIBOR can be found here:

    For the 3M OIS rate, the only thing that's publicly available (that I know of) are the closes for the FedFunds futures strip here:

    You can do some gentle jiggling to convert the closing FF fut prices into a 3m rate (it's just a bunch of boring bond arithmetic), et voila...
    ironchef likes this.
  3. 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


    LIBOR OverNight 0.1514

    shouldn't that be Libor-OIS, in this case: 0.4208-0.1514 = 0.2694
  4. 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).
  5. 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)....
  6. More like brain science, for sure...
  7. So hard to get this live data lol
  8. cfrm17