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#1
03-13-2018, 02:15 PM
 Freebird Member SOA AAA Join Date: Dec 2001 Location: Topeka, Kansas College: Graduated from Ohio State too many years ago to remember Favorite beer: Newcastle Posts: 823
Project Monthly LIBOR rates for 40 years

I am trying to interpolate and extrapolate the table of LIBOR spot rates below. The LIBOR spot rates are listed as overnight, 1 month, 2 month, 3 month, 6 month and 12 month. I do not list the overnight rate in the table below, because I am interested in calculating monthly rates for 40 years.

Thus, I first have to interpolate for months 4, 5, 7, 8, 9, 10, and 11.

Then I have to extrapolate for months 13 through 480. My ultimate goal is LIBOR monthly forward rates for 40 years, but I can use bootstrapping for that if I can get all the monthly LIBOR spot rates projected in a reasonable fashion. The result is the risk-free rates for use in FAS 133 reserves, which is a risk neutral (market value) calculation.

A Google search didn't get me anything useful, so I thought I would try here. Does anyone do anything like this, and would you be willing to share some formulas? Or can you point me to some documentation of this?

By the way, I do have access to a Bloomberg terminal, but I am only just starting to use it, and I have not been trained yet. I was wondering if there was some Bloomberg function to do this interpolation and extrapolation.

Anyone's thoughts on this would be very much appreciated.

Mth LIBOR spot
1 1.67007%
2 1.81399%
3 2.01719%
4 0.00000%
5 0.00000%

6 2.22375%
7 0.00000%
8 0.00000%
9 0.00000%
10 0.00000%
11 0.00000%

12 2.50219%
#2
03-13-2018, 03:19 PM
 Duck-Billed Platitudes Member Join Date: Jan 2010 Posts: 994

I believe a prior employer used USSWAP rates for long-term LIBOR rates. They could be found on Bloomberg and I believe went out to 30 years.

Take all this with a grain of salt.
#3
03-13-2018, 03:48 PM
 Freebird Member SOA AAA Join Date: Dec 2001 Location: Topeka, Kansas College: Graduated from Ohio State too many years ago to remember Favorite beer: Newcastle Posts: 823

Quote:
 Originally Posted by Duck-Billed Platitudes I believe a prior employer used USSWAP rates for long-term LIBOR rates. They could be found on Bloomberg and I believe went out to 30 years. Take all this with a grain of salt.
Thanks for the tip, Mr. Platitudes. I like the play on words in your name, by the way.

I'll ask a Bloomberg user if those rates are still available, or if they ever were. I am told the Bloomberg license comes with a very effective help desk. I don't know how to use the help line yet, but I think someone in the Actuarial department does, and I'll find out.

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