Euro Interbank Offered Rate (Euribor)
Euribor rates, short for Euro Interbank Offered Rate, are the interest rates at which a panel of European banks lend funds to one another in the interbank market. These rates are published daily by the European Money Markets Institute (EMMI) and serve as a benchmark for various financial products and contracts, including mortgages, loans, and derivatives, across the Eurozone.
The Euribor rates are determined for different maturities, typically ranging from overnight to 12 months. The most common maturities are 1 month, 3 months, 6 months, and 12 months. Each maturity represents the time period for which the funds are borrowed, with longer maturities generally implying higher interest rates due to increased uncertainty and risk over longer time horizons.
For more information, see for example: https://data.ecb.europa.eu/data/datasets/FM/FM.M.U2.EUR.RT.MM.EURIBOR6MD_.HSTA
Also known as: euro interbank offered rate, eurozone money market.
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Calculate the Euro Interbank Offered Rate (Euribor) in Python
The Euro Interbank Offered Rate (Euribor) is available in the Fixed Income module of the open-source Finance Toolkit. Install it with:
pip install financetoolkit -U
Then call get_euribor_rates as shown below.
from financetoolkit import FixedIncome
fixedincome = FixedIncome(start_date='2023-12-01')
euribor_rates = fixedincome.get_euribor_rates()
Which returns:
| 1-Month | 3-Month | 6-Month | 12-Month | |
|---|---|---|---|---|
| 2023-12 | 0.0386 | 0.0393 | 0.0392 | 0.0367 |
| 2024-01 | 0.0387 | 0.0393 | 0.0389 | 0.0361 |
| 2024-02 | 0.0387 | 0.0392 | 0.039 | 0.0367 |
| 2024-03 | 0.0385 | 0.0392 | 0.0389 | 0.0372 |
Parameters
get_euribor_rates accepts the following parameters:
- maturities (str | list | None, optional): Maturities for which to retrieve rates. Defaults to None. When set to None, it will retrieve rates for 1 month, 3 months, 6 months, and 12 months.
- nominal (bool, optional): Whether to retrieve the nominal Euribor fixings or their real (inflation-adjusted) counterpart. The ECB only publishes a real Euribor for the 3-month maturity, so nominal=False returns that maturity alone and warns about any others that were requested rather than silently answering them with a nominal rate. Defaults to True.
- rounding (int | None, optional): Rounding precision for the rates. Defaults to None.
- standardize (bool, optional): Whether to standardize (Z-Score) the result. Defaults to False.
Related Central Banks
The Fixed Income module page introduces the module, and the sidebar lists all of its functions.