Wednesday, August 24, 2011

LIBOR-OIS spread components (with one-year historical performance)


One-Year Chart for US Federal Funds Rate (FDFD:IND)








One-Year Chart for 3 MO LIBOR - OIS SPREAD (.LOIS3:IND)










One-Year Chart for BBA LIBOR USD 3 Month (US0003M:IND)




One-Year Chart for USD SWAP OIS 3 MO (USSOC:IND)
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