Historical Rollover Premium (Swap) Data
Where can I find historical weekly (or monthly) rollover premium data for the majors?
Thanks in advance.
You can get historical Libor rates from dataservices like eSignal, and adjust them for the interest rate spread. Or you could pull historical roll rates from Oandas web-query (would be easy if you know some scripting..).
neural net input....
i found the libor rates last week, but have no idea how to convert them to rollover premium.
i read somewhere that rollover premium's use the shortest term interest rate at any point in time (there were 3 or 4 to choose from)
i guess you subtract the short term rate of one from the other?
Spot Next and O/N Libor curves are very volantile (especially since the credit crunch). Libor rates are a calculated mean of what the banks report to BBA (it is the rate at which they are able to borrow for interbank transactions for a given maturity). Tomorrow-Next rates are not reported, so i would take the one week rates, they are pretty close and dont have these extreme outliers. If you want to be super accurate you could adjust them back to a 2 day maturity and account for interbank bid/ask spread (unfortunatly i dont know a source for Libid rates).
There has recently been some talk about Libor, the suspicion was that banks are not reporting theire true rates at which they are prepared to borrow/lend - to cover up on just how desperate they are for liquidity. The implications would be huge, since Libor is the most used benchmark for shortterm financing costs - and many things rely on it. Of course, its impossible to prove, and the credit crisis appears to calm down anyways.
The calculation is easy: Suppose Eur rate at 4.218 and USD at 2.294 and apply a spread (based on what your broker typically offers - i will assume 40 BP spread, although most retail brokers are considerably wider on the roll spreads) - and calculate the respective differentials:
EUR borrow/lend: 4,018 / 4,418
USD borrow/lend: 2,294 / 2,494
Eur/Usd long roll rate would be (4,018-2,494)=+1,524 and for shorts its (2,094-4,418)=-2,324 on an annual basis.
Resurrecting this thread...
Does anyone know how or where to get this today...historical rollover rates for all pairs (majors and crosses)?
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