Manual input of discount factors for each tenor. Changes take effect on next calculation.
Sample Data EUR/USD (251 days)
ℹ️ Contents: EUR swap curve and USD yield curve (zero-coupon, continuous, 3M–10Y) plus FX rate EUR per USD,
14 Nov 2025 – 30 Oct 2026 (market-like synthetic data). From these the discount factors at the payment dates, their daily log returns
and the covariance matrix are calculated.
Upload Historical CSV Data
ℹ️ Two formats: (1) yield curves like the sample data – the discount factors are calculated;
(2) discount factors directly: EUR_DF_1Y, …, USD_DF_1Y, …, FX (number of columns = 2 × number of payments + 1).
ℹ️ Notes on CSV import (storage location & format)
Storage location: The CSV file must be saved locally on your computer (or on a drive/USB stick connected to it). The file dialog always opens your own computer – the calculator cannot access files on a website or server directly. Please download online files first.
Privacy: The file is processed only in your browser and is not uploaded.
Format 1 – yield curves (recommended): header row Date,EUR_0.25Y,…,EUR_10Y,USD_0.25Y,…,USD_10Y,FX_EURUSD. Maturities with M (months) or Y (years). Rates as zero-coupon rates (continuous) in percent, FX as the price of 1 USD in EUR (e.g. 0.8961).
Format 2 – discount factors: one EUR and one USD DF column per payment date, FX last; the number of columns must match the number of payments.
Rows: one trading day per row, chronologically ascending (oldest first); the last row provides the current curves/DFs and FX rate. 251 rows recommended.
Delimiter: comma or semicolon; with semicolon a decimal comma is accepted (European Excel export). Encoding UTF-8.
Synthetic Time Series
Generates synthetic time series for EUR DFs, USD DFs and the FX rate (volatility 1% p.a., correlation 0.3 for all factors) to estimate the covariance matrix. Fixed seed: the same series on every click. For illustration only – use the sample data for realistic values.