Table 2 A list of instruments used to build a USD interest rate curve

From: A simple and precise method for pricing convertible bond with credit risk

Instrument name Price
19 September 2012 LIBOR 0.6049%
September 2012 Eurodollar 3 month 99.6125
December 2012 Eurodollar 3 month 99.6500
March 2013 Eurodollar 3 month 99.6500
June 2013 Eurodollar 3 month 99.6350
September 2013 Eurodollar 3 month 99.6200
December 2013 Eurodollar 3 month 99.5900
March 2014 Eurodollar 3 month 99.5650
2-year swap rate 0.3968%
3-year swap rate 0.4734%
4-year swap rate 0.6201%
5-year swap rate 0.8194%
6-year swap rate 1.0537%
7-year swap rate 1.2738%
8-year swap rate 1.4678%
9-year swap rate 1.6360%
10-year swap rate 1.7825%
12-year swap rate 2.0334%
15-year swap rate 2.2783%
20-year swap rate 2.4782%
25-year swap rate 2.5790%
30-year swap rate 2.6422%
  1. Note: This table displays the closing prices as of 10 September 2012. These instruments are used to construct an interest rate curve.