68breakbreak
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Hi,
Please somebody put an end to my frustration!
I am currently researching into Short Term Interest Rate futures, and wish to calculate the theoretical future price using a yeild curve of daily deposit/spot rates.
I can't seem to be able to find deposit or spot rates anywhere. Is it that they are referred to by some other name, or am I able to use short term LIBOR rates to construct my yield curve. I'm thinking that I can use LIBOR, but wished to seek some clarificaiton before going ahead.
If you think I need to use some other deposit rates, then please, does somebody know where I can find these? I don't know why I can't find them online.
I'm hoping there's a simple answer to my question.
Best wishes,
Simon
Please somebody put an end to my frustration!
I am currently researching into Short Term Interest Rate futures, and wish to calculate the theoretical future price using a yeild curve of daily deposit/spot rates.
I can't seem to be able to find deposit or spot rates anywhere. Is it that they are referred to by some other name, or am I able to use short term LIBOR rates to construct my yield curve. I'm thinking that I can use LIBOR, but wished to seek some clarificaiton before going ahead.
If you think I need to use some other deposit rates, then please, does somebody know where I can find these? I don't know why I can't find them online.
I'm hoping there's a simple answer to my question.
Best wishes,
Simon
