[2]Re: interest rates data

[Lee Goldberg <best-revenge@xxxxxxx>]

Thanks Chris.  I will check the vendors you suggested.

What I've learned so far agrees with what you said:

The CBoT has Bund contracts, and the CME has JGBs, both 10yr/6%.
Similar contracts for other countriess' bonds are on foreign exchanges.
I'm waiting to hear from a foreign data vendor about LIFFE and EUREX data.

The FED website has tons of free, US data.  The same is true for the BoE, 
BoJ, ECB, and other central bank websites and their data.  The problems are 
that some provide annual data, others monthly, some provide lots of 
history, others only the last year or two of YoY changes.  Also, the date 
formats are all over the place, but Excel/Format Cells enabled me to plot 
the majors in TS.  It appears that futures contracts of the bonds is the 
way to get useful daily data.

Thanks again for taking the time.  I will let you know if I discover 
anything useful.

Lee

At 10:35 PM 8/11/2004 -0400, Chris Cheatham wrote:
Hi Lee,

Look at csidata.com's futures list. Basically you want bunds, UK gilts,
jgbs, etc. Also I believe there are aussi bonds, swiss bond contracts...prob
more.  I believe these are all 6% coupon 10 yr (not positive of the coupon
on JGB) . I am not aware of a good source of free rate data other than FED.
I don't believe they have non-us stuff though. You can buy rate history from
http://www.globalfindata.com/ going way back...1700s.  Maybe the countries'
central bank web sites. I believe I recall seeing cool stuff on Japan's.

If you find a good source of intl. rates I'd love to hear.

Best,
Chris
----- Original Message -----
From: "Lee Goldberg" <best-revenge@xxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Tuesday, August 10, 2004 11:03 PM
Subject: interest rates data, domestic and foreign


> Hello List,
>
> Can anyone suggest an index (or indices) that will enable me to compare
> interest rates among the G7 countries (especially US,UK,EU,Japan)?
>
> If no index exists, can anyone recommend the futures contracts/exchanges
> that are "best" for that purpose?
>
> I am trying to find historical data (daily bars) for back-testing.
>
> Thanks for any help,
> Lee
>