Sterling Depo Rates

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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

 

[hammerhead]

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

Depo rates are not the same as LIBOR, there is a spread of around 8-12bps that needs to be taken off. The only way to get the rates is from a broker page on Reuters or Bloomberg (not sure where you can get them from the web). Otherwise just call a Money Market Desk at any investment bank and ask for GBP depo rates everyday.