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Tyszui


Total Posts: 7
Joined: Dec 2013
 
Posted: 2017-04-23 14:18
Hi guys,

I have been searching plain IRS data for the main currencies (EUR,USD,GBP,JPY) on QuandL, but can't find anything.

Am I missing some source?

Cheers

mtsm


Total Posts: 193
Joined: Dec 2010
 
Posted: 2017-04-24 15:13
That's not too surprising. IRS data is pretty much dealer proprietary. Brokers and some data providers such as BBG do get submissions from dealers and aggregate. That's pretty much it as far as I know.

For USD, you can mock up data using on the run yields and swap spreads, though you'd need to get that also.

Not too surprising it's not on quandl though. You can buy such data from dealers though. JPM has a portal and I am sure many others.
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