Eris Market Data Files
Eris Innovations provides resources for tracking current and historical data. Most files can be accessed through our FTP site and may require a username and password
ftp://ftp.erisfutures.com (alternate site) http://files.erisfutures.com/ftp/
- username: "anonymous"
- password: "anonymous"
View our glossary of field names here
Single and Intraday Files:
This guide will help navigate the files themselves and the content within
Discount Factors (Intraday)
- Daily SOFR discount factors from today out to 50 years
- Used by the Eris Pricing Engine to maintain theoretical mid prices along the curve during market hours
- Available: real-time updates during the trading day
- View file here
Current Prices, Including PV01, DV01, Par Rate Equivalents
- Current theoretical mid prices for all contracts, NPV, par rate equivalent yield, PV01, DV01
- Available: real-time updates during the trading day
- View file here
Historical Prices (In One Time Series)
- A time series of all historical prices for all contracts (including A, B, & C components) going back to their respective listing date
- This is a single file, updated daily
- View file here
Individual Daily Files:
Par Coupon Curve (End of Day)
- Benchmark spot starting Ann A/360 Fixed Rates vs Compounding O/N SOFR
- Created by the Eris Pricing Engine, will be anchored to Eris SOFR Swap Futures prices when live
- Available: 17:00 CT
- View latest file here
Daily Settles (End of Day)
- Detailed closing price file for all Eris Swap Futures, breaking out Swap NPV, past cash flows, and ErisPAI components, along with detail on unpaid accruals
- Use for income reporting, P&L tracking
- Available: 17:00 CT
- View latest file here
Top Day Price File (Beginning of Day)
- Detailed price file for all Eris Swap Futures, breaking out Swap NPV, past cash flows, and ErisPAI components, along with detail on unpaid accruals
- Provides B & C values for pricing and P&L tracking at the beginning of the trading day
- Available: 08:20 CT
- View latest file here
Priced Swap Leg Analysis (End of Day)
- Future fixed and forecasted floating cash flows for all Eris Swap Futures
- Created to support the daily settlement process and useful for model calibration validation
- Available: 17:00 CT
- View latest file here
Discount Factors (End of Day)
- Daily discount factors from today out to 50 years used in the settlement process
- Used for forecasting and discounting all future cash flows
- Available: 17:00 CT
- View latest file here
Disclaimer: The data provided by Eris Innovations (Eris) on erisfutures.com and ftp.erisfutures.com (Eris Public Data) are provided on an as is, as available basis. Users of Eris Public Data bear the sole risk of all exploitation of and other uses of it, as well as any misuse or unauthorized access thereto. To the full extent permissible under applicable laws, Eris makes no, and hereby disclaims all, representations, warranties and conditions of any kind, express and/or implied, including as to the transmission, availability, suitability, completeness, timeliness, currency, accuracy, or sequence of the Eris Public Data, including but not limited to any representations, warranties or conditions of merchantability, quality, fitness for a particular purpose, title, and non-infringement, and implied representations, warranties or conditions arising from a course of dealing, course of performance or usage of trade. In addition, Eris is not responsible for any errors or omissions in any Eris Public Data, any failures, delays or interruptions in the availability of Eris Public Data, or for any adverse consequences resulting from use of, inability to use or reliance on any Eris Public Data. Further, Eris expressly disclaims any representations, warranties or conditions that the Eris Public Data will be uninterrupted, secure, or free of malicious code, errors or other harmful components.