Click here to Login








Interest Rate Swaps - Historical Data

by Caleb, 4875 days ago
Share |






A company that is concerned about fluctuations in interest rates can reduce or limit its exposure to these interest rates by using a financial instrument (derivative) called Interest Rate Swap. It consists of an agreement between two parties where two streams of future interest payments are exchanged.

Interest rate swaps are highly liquid instruments and are also used by speculators to profit from changes in interest rates.

Here is a basic example that illustrates the Interest Rate Swap:
Company A is currently paying interests based on a floating rate. This company wants to change the interest rate structure and transform this floating rate into a fixed rate.
Company A enters into an interest rate swap with another party that pays a fixed rate for its obligations.
Company A gets the other party obligation that is based on a fixed rate. The other party gets Company A obligation that is based on the floating rate.
More info: http://en.wikipedia.org/wiki/Interest_rate_swap

This item downloads historical data for several US Swap rates from the Federal Reserve Bank website. The following series are downloaded and saved under different symbol names:
1- year swap (Symbol: ^IR_swaps_1year), 2-year swap, 3-year swap, 4-year swap, 5-year swap, 7-year swap, 10-year swap, 30-year swap.

Each interest rate swap series corresponds to the rate paid by fixed-rate payer on an interest rate swap with a maturity of X years.
Historical data for each interest rate swap is available starting from 2000 to present.
Source: http://www.federalreserve.gov/releases/h15/data.htm


Share This ->
Share |


You have to log in to bookmark this object
What is this?




Type: Download Script

Object ID: 980


Country:
United States

Market: Bonds Market

Style:
Technical Analysis

Reviews
You must log in first

Join now
and get instant access for free to the trading software, the Sharing server and the Social network website.
Click here


Related objects

Empty

Number of reviews
Click to add a review
Average rate
Click to rate this item
Number of times this object was downloaded
Number of rates the current object received
Report an object
if you can't run it for example or if it contains errors
Click to report this object

Technical Analysis


Fundamental Analysis



Random Blog Posts

Select the best ETFs combination to maximize your return and reduce your investment risk

How to turn any ordinary trading strategy into a very profitable one

Charting & Scripts - Manage stock charts using the global script

Trading System: Buy Stocks based on their Sharpe Ratio Rank

Creating and managing notes for your stocks

How to Quickly Create Fundamental Scans

Download Trading Data using the Post-Script

Download Trading Data using the Pre-Script

Show All

Number of reviews
Click to add a review
Average rate
Click to rate this item
Number of times this object was downloaded
Number of rates the current object received
Report an object
if you can't run it for example or if it contains errors
Click to report this object






QuantShare
Product
QuantShare
Features
Create an account
Affiliate Program
Support
Contact Us
Trading Forum
How-to Lessons
Manual
Company
About Us
Privacy
Terms of Use

Copyright © 2024 QuantShare.com
Social Media
Follow us on Facebook
Twitter Follow us on Twitter
Google+
Follow us on Google+
RSS Trading Items



Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.