Fri, 14 Feb 2020 06:00:24 GMT language
This is a very specific question.
I am trying to test some models on the European bond market in this low rate environment. While it is easy to find the data for the US interbank market, I can't seem to find it for the eurozone. Spot yields are easy to find, but finding information on forward rates is impossible on the ECB and Eurostat websites. All I could find was forward rates for a maturity of less than a year.
I'm willing to compute the rates myself if anyone has information on swaps.