Public Sources for Overnight Index Swap Curves and Rates
Summary
The document asks where to obtain historical overnight index swap rates across a range of maturities, motivated by pricing foreign exchange options. It distinguishes a single overnight benchmark such as the Effective Federal Funds Rate from a full OIS curve, which contains rates for multiple tenors and currencies.
The responses point to daily interest rate files from Markit and CME, including CME files with currency-specific OIS quotes and tenor-rate entries. One answer also mentions a downloadable application that provides curves for major currencies. These suggestions are practical leads for sourcing market data rather than a method for constructing or adjusting a curve. The post gives sample filenames and quoted curve entries, but does not assess data quality, licensing, historical coverage, or whether the sources remain publicly accessible. It also cautions that an older file specification may no longer be current, so availability and formats should be checked before relying on them.
Key ideas
- A single overnight benchmark rate does not provide a full OIS curve across maturities.
- Daily OIS quotes can be sourced from providers such as Markit and CME.
- CME files contain currency-specific curve quotes organized by tenor.
- Check current specifications, access, and historical coverage before using a data source.
Tags
Full text
# Is there any public data to get OIS for differal time (1d, 1W, 1M, ..., 10Y)? # Is there any public data to get OIS for differal time (1d, 1W, 1M, ..., 10Y)? I want to get data of Overnight Index Swap, also known as OIS rate, there is any public why to get this always from yesterday? For example, I want to get EFFR(Effective Federal Funds Rate), I can get here: https://fred.stlouisfed.org/series/EFFR Some one give a light of how to solve my problem. I am trying to solve price for FX Option, what I did, I just have to adjust the OIS rate for differal time and I done my job. ## Answer by will (score 6, accepted) https://quant.stackexchange.com/a/33541 So you can get depo and swap rates from markit daily, at links like this: ``` http://www.markit.com/news/InterestRates_<cncy>_<yyyymmdd>.zip ``` i.e. http://www.markit.com/news/InterestRates_USD_20170105.zip and there's a spec for it here - though that's from 2009 so may be out of date, maybe you can find a more up to date one someone on their site, but i've noot been able to inside of a few minutes of googling. ## Answer by Dimitri Vulis (score 2) https://quant.stackexchange.com/a/55767 CME (as of now) also publishes it. Folder: ftp://ftp.cmegroup.com/irs/ file name: irs_close_quotes_OISUSD_YYYYMMDD.csv, e.g. 20200717 ``` CURVE_NAME,TENOR,RATE USD LIBOR-OIS DISCOUNT CURVE,2 Years,0.0033500000 USD LIBOR-OIS DISCOUNT CURVE,3 Years,0.2200000000 USD LIBOR-OIS DISCOUNT CURVE,5 Years,0.2212830000 USD LIBOR-OIS DISCOUNT CURVE,10 Years,0.2172810000 USD LIBOR-OIS DISCOUNT CURVE,30 Years,0.1971580000 ``` there are many other curves for other currencies in this folder. ## Answer by user32086 (score 0) https://quant.stackexchange.com/a/45708 Go to this site and download the application that contains OIS curves for all major currencies at https://finpricing.com/download.html
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