Independent swap valuation
A clearer view of your interest rate swaps. Explore public OIS curves, check a valuation, and understand the data behind the number.
Retrieving the latest snapshot…
Built on public
market data
The swap workbench
Enter your trade terms to calculate present value, rate sensitivity and the par rate using the latest available curve.
From source to valuation
An independent check starts with knowing where the data comes from and how it is used.
USD and EUR curves are constructed from DTCC public transaction reports. GBP, JPY and CHF use Eurex Clearing settlement prices. The source and observation date accompany each curve.
Inspect the observations ↗For USD, eligible near-spot SOFR trades are grouped by tenor. Rates use notional-weighted medians in the 19:00–21:00 UTC window, with derived estimates or all-day medians where needed.
Read the methodology ↗The pricer bootstraps discount factors from par rates and values the swap’s cash flows. Currency conventions, payment dates and the chosen curve determine the result. Web pricing uses rates rounded to two decimals in percent; archive exports retain stored precision.
Explore the pricing library ↗A few useful details
Available USD snapshots begin on 19 March 2026. Other currencies can have different coverage. The archive lists the dates actually stored; a missing date has no snapshot. A curve reconstructed later would need to be labelled as a reconstruction.
Different market observations, valuation times, calendars, payment conventions, projection curves and valuation adjustments can change a mark. Use the same trade terms and compare the curve date before interpreting a difference.
Stored snapshots include the currency, observation date, collection timestamp and tenor rates. DTCC-derived points include accepted record counts and methodology labels. Older snapshots may contain different fields; the download preserves the stored data.
Yes. The current web pricer and curve explorer are available without an account or deposit. Portfolio entries are saved in your browser; trade terms are sent to our API when you request a valuation.
No. These are dated curve estimates from reported transactions and clearing settlement data. Check the observation date and methodology. They are not executable quotes or a guarantee of your counterparty’s valuation.
A dated curve is one input. Reproducing a valuation also requires the original trade terms, pricing code version, calendars and conventions. Current archived JSON does not include a complete versioned valuation package.