This page displays the historical correlation data for a single currency for interest rates between defined pairs of tenors for a defined historical period.
You can select one of the following periods—1 month, 3 months, 6 months, 1 year, 2 years, 3 years.
The Correlation page is accessed by clicking the Correlation tab on the left-hand menu. Alternatively, on the ribbon bar in the Market Data tab click the Correlations button.
To calculate the historical correlation rates, the system uses fixing rates (or cash rates).