Re: Missing USDLibor6M Actual/360 fixing

Posted by MonkeyMan-3 on
URL: http://quantlib.414.s1.nabble.com/Missing-USDLibor6M-Actual-360-fixing-tp7050p7058.html

Mike DelMedico <mike.delmedico <at> gmail.com> writes:

Thanks for the info.

> do you mind if I ask where you are getting your input data (for swaps)
> for the curve?  

For the US I'm using ICAP data provided by Reuters for spot rates.
Reuters provides forward rates as well, but the contributors are all mixed
together and I found the quality to be kind of spotty. I get the impression that
they calc the forward rates using the last update to a consolidated spot rates
page. Needless to say, this can cause the forwards to blow up.

I haven't tried to use bberg data. Thanks for the heads up.


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