Forums  > General  > Interest Rate Swap data on QuandL  
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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?



Total Posts: 216
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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