Live Markets Excel Addin
The Eris Microsoft Excel Add-In is free and allows users to pull Eris reference data and live market data into their own spreadsheets.
Reference data includes swap start, end dates and contract coupons. Live data includes contract equivalent par rates, swap NPV (Eris A), past fixed and floating interest payments (Eris B) and PAI (Eris C), PV01, DV01, maintenance margins, and much more.
Eris also publishes live, spot starting par swap rates for the full yield curve. These rates are implied by the live Eris curve, which is optimized from extensive market price inputs and calibrated to reprice the mid prices of Eris contracts throughout the trading day. Eris settlement prices are derived from this Eris Pricing Engine using Eris order book mid-prices and other market prices observed at 3pm ET daily.
View instructions for installing the add-in here
