The LIBOR-OIS Spread

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http://www.trust.ru/investment/analitika/interactive/mm/eng/index.html

http://www.trust.ru/investment/analitika/interactive/mm/eng/help.html

http://www.bloomberg.com/quote/!lois3:ind

http://www.trust.ru/investment/analitika/interactive/mm/eng/help.html#2.1

LIBOR (London Interbank Offered Rate)

• An average interest rate for interbank loans provided by banks on the London interbank market offering funds in various currencies and for various periods — from 1 day to 12 months.
• The rate is based on the borrowing rates of 16 top London banks, which they provide to Reuters by 11 o’clock (GMT). Of the 16 rates provided, the top and bottom 4 are discarded, and an arithmetic mean of the remaining 8 is then published as LIBOR for the corresponding period and currency.
• The rate has been determined by the British Bankers’ Association every day at 11 o’clock GMT since 1985 on the basis of data provided by selected banks.
• Periods: T/N, 1, 2, 3 weeks and 1, 2, 3, 6, 9, 12 months
• list of banks: http://www.bbalibor.com/bba/jsp/polopoly.jsp?d=1645

http://www.investopedia.com/terms/o/overnightrate.asp#axzz1dYnk5mqX

http://www.investopedia.com/terms/o/overnightindexswap.asp#axzz1dYnk5mqX

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