Whenever Rates Change Within A Month NBER Weighted The Rates By The Number Of Days Each Were In Effect. Source: Data For 1836-1938: Burdett'S Official Intelligence, 1894, P. 1771; 1935, P. 3286, And Following Editions (Name Changes To Stock Exchange Official Intelligence; Then To Official Stock Exchange Yearbook). Data For 1939: Federal Reserve Board, Banking And Monetary Statistics, 1943.
This NBER data series m13013 appears on the NBER website in Chapter 13 at http://www.nber.org/databases/macrohistory/contents/chapter13.html.
NBER Indicator: m13013
Release: NBER Macrohistory Database
National Bureau of Economic Research, Minimum Rate of Discount, Bank of England for Great Britain [M13013GBM156NNBR], retrieved from FRED, Federal Reserve Bank of St. Louis https://research.stlouisfed.org/fred2/series/M13013GBM156NNBR/, September 3, 2015.