ICAP OTC Interest Rates
ICAP is a leading markets operator and provider of post-trade risk mitigation and information services. The ICAP database covers a multitude of OTC interest rate instruments, with an emphasis on interest rate swaps, denominated in eight currencies and priced in several different geographical locations. The dataset also includes other types of data, such as FX spot and FX forwards. The almost 35 000 available daily frequency time series have extensive history and are updated throughout the day as different markets closes.