Re: [Quantlib-users] Missing USDLibor6M Actual/360 fixing

[MonkeyMan <fee...@ya...>]

Mike DelMedico <mike.delmedico <at> gmail.com> writes:

Thanks for the info. 

> do you mind if I ask where you are getting your input data (for swaps) 
> for the curve?  

For the US I'm using ICAP data provided by Reuters for spot rates. 
Reuters provides forward rates as well, but the contributors are all mixed 
together and I found the quality to be kind of spotty. I get the impression that
they calc the forward rates using the last update to a consolidated spot rates
page. Needless to say, this can cause the forwards to blow up.

I haven't tried to use bberg data. Thanks for the heads up.