Live Eris Swap Curve

The Live Eris Swap Curve is an innovative benchmark interest rate curve anchored to our actively traded order book markets. We use this real-time, fitted curve to determine settlement prices for all USD Eris interest rate swap futures, including aged contracts.

The Eris MS Excel Add-In allows users to pull live Eris market data into their own models for various applications, including relative value analysis vs other fixed income products, and streamlining of risk and P&L.

Freely available, the data provides streaming quotes, PV01, DV01, par rate equivalent yields, spot starting rates, margins, and much more.  

View instructions for installing the add-in here

 

image of excel add-in

View live markets on our website here