Education Library

FTP Site Guide

ftp://ftp.erisfutures.com/

Eris Innovations provides a number of resources on its ftp site, this guide will help navigate.  The individual files may require a user name and password.

  • User name: "anonymous"
  • Password: "anonymous"

Single and Intraday Files:

Current Prices, including PV01, DV01, Par Rate Equivalents

  • File Name: Eris_Standards_Pricing_Intraday.csv
  • Includes: Current theoretical mid prices for all contracts, NPV, par rate equivalent yield, PV01, DV01
  • Frequency: Intraday
  • Find it here: Near the bottom of the list

 

Discount Factors

  • File Name: Eris_Intraday_DiscountFactors_[Libor/OIS].csv
  • Includes: Separate files for LIBOR and OIS discount factors going out 50y
  • Frequency: Intraday
  • Find it here: Near the bottom of the list

 

Historical Prices (in one time series)

  • File Name: Eris_Historical_Prices_For_Standards.csv
  • Includes: A time series of all historical prices for all contracts (including A, B, C components) 
  • Frequency: A single file updated daily
  • Find it here: About 2/3 of the way down the list

 

Live Eris Swap Curve Add-in

  • File Name: ErisMarketsAddin.xlam
  • Includes: This is the necessary add-in to allow other spreadsheets to be updated with live Eris curve data.  Visit Eris website for more info on download instructions
  • Frequency: A single file
  • Find it here: The second file in the list

 

Individual Daily Files:

Cash Flow Analysis

  • File Name: Eris_[yyyymmdd]_EOD_PricedSwapLegAnalysis_OIS.csv
  • Includes: Calculated fixed and floating cash flows with period start and end dates, discount factors, etc for all Eris contracts
  • Frequency: Daily
  • Find it here: About 2/3 of the way down the list, using today's date

 

Discount Factors

  • File Name: Eris_[yyyymmdd]_EOD_DisountFactors_[Libor/OIS].csv
  • Includes: Individual LIBOR and OIS discount factors going out 50y
  • Frequency: Daily
  • Find it here: About 2/3 of the way down the list, using today's date

 

Holiday Calendar

  • File Name: Eris_[yyyymmdd]_EOD_Holidays.csv
  • Includes: Schedule of US & UK holidays going out 40 years for price calculations
  • Frequency: Daily
  • Find it here: About 2/3 of the way down the list, using today's date

 

Prices: End of Day Settlement

  • File Name: Eris_Instruments _[yyyymmdd]_[Prelim]Settles.csv
  • Includes: Preliminary and final Settlement Prices for all contracts
  • Frequency: Daily
  • Find it here: Near the bottom of the list, using today's date

 

Prices: Top Day / Beginning of Day

  • File Name: Eris_Instruments _[yyyymmdd]_Prices_[Prev/TopDay]_PAI_Rate.csv
  • Includes: Prices for all contracts at the beginning of the day using yesterday's PAI rate, and after the open using the official PAI rate once it is determined
  • Frequency: Daily
  • Find it here: Near the bottom of the list, using today's date

 

Spot Starting Swap Rates Using the Eris Settlement Curve

  • File Name: Eris_[yyyymmdd]_EOD_ParCouponCurve_[Libor/OIS].csv
  • Includes: Generic 1-30y spot starting LIBOR & OIS swap rates derived from the Eris settlement curve
  • Frequency: Daily
  • Find it here: About 2/3 of the way down the list, using today's date