LIBOR Curve

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mwvt9

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Where can I get spot rates for the LIBOR curve? I need to go out 10 years.
 
bloomberg or if you have a relationship w/ a bank they’ll give it to you.
 
Trying to value a swap. A client is potentially going to turn a 10 yr floating rate loan into a fixed by entering a swap.
I would like to audit the fixed rate of the swap given by the bank and also evaluate the risks in the transaction as the borrower has no clue.
 
Trying to get the fixed rate on a 10 yr swap. I suppose I would be using Eurodollar futures to get the price.
Can anybody help?
 
ask the bank who is supplying the quote to give you the spot rate curve.
 
Bloomberg will give you a LIBOR curve for up to 30 years, beyond 12 months they use Eurodollar futures to construct it I believe. It does involve some advanced methodology and fitting so it’s better to get the curve from there rather than try to construct it yourself.
 
if it is a swap, then you can actually price it in Bloomberg to verify the bank quote without doing much modeling but using the built-in functions and entering the terms
 
Mobius Striptease Wrote:
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> Bloomberg will give you a LIBOR curve for up to 30
> years, beyond 12 months they use Eurodollar
> futures to construct it I believe. It does involve
> some advanced methodology and fitting so it’s
> better to get the curve from there rather than try
> to construct it yourself.
Can I get this info from the site or do I need a terminal (which I don’t and never will have access to)?
Edit: Just saw your second post. Looks like I need a terminal.
 
yep, that’s not a free service..
there are infinitely many ways to mess up the valuation for a plain vanilla swap if you are just following some textbook instructions for the first time, starting from day conventions to compounding to amortization of the notional to who knows. i suggest the first few times to rely on bloomberg and recreate the analysis to make sure your model agrees 100%. but if you dont have access to it, don’t know other sources unfortunately..
 
mwvt9 Wrote:
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> Thanks for the help.
Still need a curve? Let me know and I can pull one off BBG, or just give you swap rates.
 
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