A survey-based estimation of the Swiss franc forward term premium

Swiss Journal of Economics and Statistics

Table 2 Data preparation

	Input data			Final data
Instrument	Frequency	Availability	Maturity	Frequency	Availability	Maturity
Survey data	Monthly	Dec. 89–Aug. 16	In 3M and 12M (end of month)	Monthly	Mar. 91–Aug. 16	In 3M and 12M (end of month)
Libor futures	Daily	Mar. 91–Aug. 17	IMM dates*	Monthly**	Mar. 91–Aug. 16	In 3M and 12M (end of month)***
Libor 3M	Daily	Dec. 89–Aug. 17	3M	Monthly	Mar. 91–Aug. 16	3M

Table 2 describes the dataset and the transformation of the data. * International Monetary Market (IMM) dates are the third Wednesday of March, June, September, and December of each year. ** LIBOR futures as of the survey date are used. *** Adjustment is performed via spline interpolation