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Finding LIBOR and OIS Swap Rate Data for Curve Bootstrapping

Article Quant Q&A · Author: Oli Bernet
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Summary

The document answers a question about locating LIBOR and overnight indexed swap rates for constructing an OIS discount curve. It distinguishes OIS swap rates from the questioner's phrasing of OIS zero-coupon bonds, and points to commercial market-data vendors and independent data providers as usual sources for swap quotes. For users without those subscriptions, it suggests public sources that provide some LIBOR observations and Federal Reserve data for rates.

The answer notes a limitation for historical interest-rate swaps: the Federal Reserve's H.15 report once included IRS data, but that reporting ended in 2016. Older reports may still help with historical research. The response offers leads rather than a complete dataset, coverage assessment, or a bootstrapping procedure; users would need to verify instruments, currencies, tenors, dates, and licensing before using any source in curve construction.

Key ideas

  • OIS swap rates are commonly obtained through commercial market-data services or specialist data vendors.
  • Some public websites provide LIBOR observations for researchers without commercial subscriptions.
  • Federal Reserve H.15 reports may offer historical swap data, although that reporting was discontinued.
  • A source's rate coverage and instrument definitions should be checked before bootstrapping a curve.

Tags

Fixed incomeDerivatives pricingUS markets
Full text
# Data for OIS and Libor rates


# Data for OIS and Libor rates












I want to bootstrap OIS zero-coupon bonds to the OIS rate but unfortunately I don't have any data.

Does anyone know where I can find the Libor rates and OIS rates?

## Answer by user42108 (score 1)

https://quant.stackexchange.com/a/68183

Not sure what "OIS zero-coupon bonds" are but if you're looking for OIS swap rates, usual source is Bloomberg or Refinitiv Eikon ('TAFKA' Reuters). IDB's also sell data, e.g. https://www.tpinformation.com/.

If you don't have access to any of those, you can find some LIBOR rates here - https://www.global-rates.com/en/. You could also try https://fred.stlouisfed.org/. The Fed's H15 report used to have IRS data but that was discontinued in 2016; if you're after historical rather than current data, you might be able to find some in the old reports (https://www.federalreserve.gov/releases/h15/).

HTH.

FD, I have no affiliation with any of these sites/companies.

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