📊 Plain Vanilla Swap VaR Calculator

💼 Swap parameters

📈 Historical time series

Load time series

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). “Choose file” 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.
• Header row: first column Date, then the maturities, e.g. Date,0.25Y,0.5Y,1Y,2Y,3Y,5Y,7Y,10Y. Units: Y = years, M = months (3M = 0.25 years); a number without unit = years.
• Rates: zero-coupon rates (continuous) in percent, e.g. 2.85. The calculator discounts with DF = e^−r·t. The curve should cover the swap term (beyond: flat extrapolation).
• Data rows: one trading day per row, chronologically ascending (oldest row first), at least 251 complete rows. The last row = current curve.
• Delimiter: comma , or semicolon ;. Decimal separator: point; with semicolon a decimal comma is also accepted (European Excel export). Encoding UTF-8.

📊 VaR parameters

🚀 Calculate 📥 CSV export (incl. matrices)