Live Eris Swap Curve


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    • Live bids and offers of On-The-Runs and theoretical mids for all other Eris contracts

    • Prices available in multiple formats: NPV, par rate, futures price, daily discount factors 0-50 years

    • Market data includes PV01, DV01, margins, tick sizes, reference data, preliminary & final settlement prices

    • Obtain streaming implied spot-starting swap curve

     

    Live Curve Summary

    Eris Trading Demos

    Curve Construction in Detail



    • Track CCP basis, monitor values of Eris and OTC swap positions

    • Identify relative value trading opportunities

    • Determine hedge ratios

    • Calculate margin savings for OTC swap to Eris switches

    • Use Eris par implied spot-starting swap rates for your own model inputs

     

    Request Sample Live Curve Spreadsheets

     


  • There are multiple ways to access the Live Eris Swap Curve market data: