Portfolio VaR Calculator 2 — Interest Rate Sensitive Products

📈 Market data (apply to all products)

or your own file:

ℹ️ Notes on CSV import (location & format)

Sample data: 251 trading days (1 Jan 2023 – 8 Sep 2023), synthetic data; loaded automatically when the calculator opens.
Location: the CSV file must be stored locally on your computer (or 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.
Columns (any order, other columns are ignored): date; zero rates EUR_Zero_3M, _1Y, _2Y, _5Y, _10Y, likewise for USD, GBP, CHF; FX rates EUR/USD, EUR/GBP, EUR/CHF (foreign currency per EUR); credit spreads CreditSpread_A_1Y, _5Y, _10Y and CreditSpread_BBB_1Y, _5Y, _10Y. Rates and spreads in percent.
Rows: one trading day per row, in ascending order (oldest first); the last row provides the current curves and FX rates. 251 rows recommended.
Separator: comma or semicolon; with semicolon a decimal comma is allowed (e.g. German Excel export). Encoding UTF-8.

💰 Bond input

Number of bonds

Bond 1

Currency

Notional

Coupon (% p.a.)

Term (years)

Frequency

Credit Rating

Bond 2

Currency

Notional

Coupon (% p.a.)

Term (years)

Frequency

Credit Rating

Bond 3

Currency

Notional

Coupon (% p.a.)

Term (years)

Frequency

Credit Rating

Confidence level

Horizon (days):

📊 Results

Please enter parameters and load CSV.

🌍 CCS input

Number of CCS

CCS 1

Leg 1 (pay)

Leg 2 (receive)

Notional (Leg 1)

Rate Leg 1 (%)

Rate Leg 2 (%)

FX Spot (Leg1/Leg2)

Term (years)

Frequency

CCS 2

Leg 1 (pay)

Leg 2 (receive)

Notional (Leg 1)

Rate Leg 1 (%)

Rate Leg 2 (%)

FX Spot (Leg1/Leg2)

Term (years)

Frequency

Confidence level

📊 Results

Please enter parameters and load CSV.

📐 Portfolio VaR Calculator 2