Here you can find R codes and other data set used in this paper
The first few lines of each R code file explain what figure, table it generated respective the research paper. The data set I used in the paper received from ICE Administration(https://www.theice.com/iba/libor), hence propriety.
Either you can contact them and request a copy or use ones found in online. I have included three similar data set I found over the web for your reference. No guarantee/reponsibility to whether they are correct or not.