💼 Swap parameters
📈 Historical time series
ℹ️ Time series format:
CSV with 251 rows: Date,1Y,2Y,3Y,4Y,5Y
💡 Automatic: The current yield curve is taken from the last row!
📊 VaR methodology: covariance matrix of DF log returns
CSV with 251 rows: Date,1Y,2Y,3Y,4Y,5Y
💡 Automatic: The current yield curve is taken from the last row!
📊 VaR methodology: covariance matrix of DF log returns
… or use sample data:
251 days, 14 Oct 2025 – 29 Sep 2026
✓ Yield curve loaded
📊 VaR parameters
📊 Results
Present Value
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DV01
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Modified duration (on notional)
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Convexity (on notional)
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Value at Risk (99%)
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Number of payments
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📊 Current yield curve
| Term | Interest rate (%) | Interest rate (decimal) | Discount Factor |
|---|
💰 Swap cashflow details
| Time (Y) | DF | Forward Rate | Fixed CF (€) | Floating CF (€) | Net CF (€) | PV (€) |
|---|
ℹ️ Risk factors & sensitivities:
• Risk factors = discount factors (not forward rates!)
• Sensitivities = full derivative of the present value with respect to ln DF (fixed and floating leg, plus the DF at forward start)
• Covariance matrix of DF log returns available in the CSV export
• Risk factors = discount factors (not forward rates!)
• Sensitivities = full derivative of the present value with respect to ln DF (fixed and floating leg, plus the DF at forward start)
• Covariance matrix of DF log returns available in the CSV export
📊 Statistical parameters
Observations
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Avg. volatility
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Avg. correlation
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