Historical Rollover Premium (Swap) Data on Broker Discussion

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Thread posts in Historical Rollover Premium (Swap) Data:

Historical Rollover Premium (Swap) Data

Started 6 months, 1 week ago (2008-05-29 19:18:00) by tdion

Where can I find historical weekly (or monthly) rollover premium data for the majors? Thanks in advance.

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Reply 1: Historical Rollover Premium (Swap) Data

Started 6 months, 1 week ago (2008-05-30 10:41:00) by fxtrader42

Quote: Originally Posted by tdion Where can I find historical weekly (or monthly) rollover premium data for the majors? Thanks in advance. Why would you ever need that data? Are you planning on making historical carry trades?

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Reply 2: Historical Rollover Premium (Swap) Data

Started 6 months, 1 week ago (2008-05-30 11:35:00) by shrike

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..).

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Reply 3: Historical Rollover Premium (Swap) Data

Started 6 months, 1 week ago (2008-05-30 15:08:00) by tdion

neural net input.... Quote: Originally Posted by fxtrader42 Why would you ever need that data? Are you planning on making historical carry trades?

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Reply 4: Historical Rollover Premium (Swap) Data

Started 6 months, 1 week ago (2008-05-30 15:31:00) by tdion

thank you 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? Quote: Originally Posted by shrike You can get historical Libor ...

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Reply 5: Historical Rollover Premium (Swap) Data

Started 6 months ago (2008-05-31 08:27:00) by shrike

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 ...

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