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Finding Historical GBP Swap Rates in Bloomberg

Article Quant Q&A · Author: WaK
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Summary

The document gives Bloomberg-based routes for locating swap rates and historical swap data, with GBP as its example. It recommends using the Curve Finder to filter for GBP, entering a tenor-specific swap query such as a five-year GBP swap and following the platform’s suggestions, or opening the Tullett broker feed and selecting the interest rate swap instrument for the relevant region.

The response notes that broker-feed history may be incomplete for some past periods. In those cases, it suggests using Bloomberg’s generic New York or calculated pricing sources as alternatives. The guidance is practical but depends on access to Bloomberg and the available history and source coverage; it does not discuss curve construction, data quality checks, or other vendors.

Key ideas

  • Bloomberg Curve Finder can be filtered to locate GBP swap curves.
  • A tenor-specific GBP swap query can surface relevant swap instruments.
  • The Tullett broker feed provides swap quotes and may include historical observations.
  • Some historical periods lack complete broker data, so generic or calculated Bloomberg sources may be alternatives.

Tags

Fixed incomeBacktestingUS markets
Full text
# Swap data- couldn't find any


# Swap data- couldn't find any












I'm a student and i amm looking for a swaps rates historical data for long tenors in purpose to estimate yield curve (for example in GBP). My question is where could I find it?

## Answer by swordfish81 (score 1)

https://quant.stackexchange.com/a/61303

There are three ways you can find the swap data in Bloomberg.

- Simply go to CRVF (Curve finder) and then narrow down to GBP where you can find the data.

- Alternately you can just type in GBP Swap 5Y and let Bloomberg's autofill do the work for you.

- Type in TTKL (Broker feed page for Tullet) and then move on to the region and then select the instrument as IRS and you can get the swap data from their as well. It includes historical data too. (Although note that for some periods in the past, there is no proper broker data so you might have to make do with Bloomberg Generic NY BGN or Bloomberg Calculated BLC3 pricing sources).

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.