{
  "@context": "https://schema.org",
  "@type": "Dataset",
  "identifier": "quant-calc-quantitative-metrics-time-series",
  "name": "QuantCalc Tools Quantitative Empirical Metrics & Period-over-Period Delta Series (2024–2026)",
  "description": "Aggregated empirical time-series and period-over-period basis-point/percentage shifts compiled across all published QuantCalc Tools research dossiers. Each observation links the current 2026 value, prior baseline period, net delta (bps or %), and primary regulatory or market-data source code.",
  "url": "https://quantcalctools.com/datasets#quant-calc-quantitative-metrics-time-series",
  "version": "2026.4",
  "temporalCoverage": "2024-01-01/2026-12-31",
  "spatialCoverage": "United Kingdom, European Union & Global Derivatives Desks",
  "license": "https://creativecommons.org/licenses/by/4.0/",
  "isAccessibleForFree": true,
  "dateModified": "2026-10-22",
  "keywords": [
    "Basel FRTB Expected Shortfall 97.5%",
    "parametric Value at Risk 99%",
    "Half-Kelly portfolio criterion",
    "SONIA vs SOFR day-count convention",
    "period over period basis points",
    "empirical financial metrics table",
    "QuantCalc Tools time series CSV"
  ],
  "creator": {
    "@type": "Organization",
    "name": "QuantCalc Tools",
    "url": "https://quantcalctools.com"
  },
  "isBasedOn": [
    {
      "@type": "CreativeWork",
      "name": "Bank for International Settlements — BCBS FRTB Market Risk Framework (MAR)",
      "url": "https://www.bis.org/bcbs/publ/d457.htm"
    },
    {
      "@type": "CreativeWork",
      "name": "Bank of England — SONIA Interest Rate Benchmark & Prudential Regulation Authority",
      "url": "https://www.bankofengland.co.uk/markets/sonia-benchmark"
    },
    {
      "@type": "CreativeWork",
      "name": "UK Financial Conduct Authority (FCA) — IFPR & Prudential Handbook",
      "url": "https://www.handbook.fca.org.uk/"
    },
    {
      "@type": "CreativeWork",
      "name": "International Swaps and Derivatives Association (ISDA) — 2021 Definitions",
      "url": "https://www.isda.org/"
    },
    {
      "@type": "CreativeWork",
      "name": "QuantCalc Tools Primary Regulatory Reference (cmegroup.com)",
      "url": "https://www.cmegroup.com/tools-information/quikstrike/options-calculator.html"
    },
    {
      "@type": "CreativeWork",
      "name": "QuantCalc Tools Primary Regulatory Reference (isda.org)",
      "url": "https://www.isda.org/book/2002-isda-equity-derivatives-definitions/"
    }
  ],
  "distribution": [
    {
      "@type": "DataDownload",
      "encodingFormat": "text/csv",
      "contentUrl": "https://quantcalctools.com/api/datasets/quant-calc-quantitative-metrics-time-series?format=csv"
    },
    {
      "@type": "DataDownload",
      "encodingFormat": "application/json",
      "contentUrl": "https://quantcalctools.com/api/datasets/quant-calc-quantitative-metrics-time-series?format=json"
    }
  ],
  "columns": [
    {
      "key": "seriesId",
      "label": "Series ID",
      "unitOrFormat": "Alphanumeric Code",
      "description": "Unique time-series observation identifier."
    },
    {
      "key": "metric",
      "label": "Quantitative Metric",
      "unitOrFormat": "Text",
      "description": "Specific financial, prudential, or microstructure variable measured."
    },
    {
      "key": "currentValue",
      "label": "2026 Current Value",
      "unitOrFormat": "Rate / Spread / Ratio",
      "description": "Latest verified observation for the 2026 reporting window."
    },
    {
      "key": "priorPeriod",
      "label": "Prior Period Baseline",
      "unitOrFormat": "Rate / Spread / Ratio",
      "description": "Comparative prior-period or pre-reform baseline value."
    },
    {
      "key": "changeBpsOrPct",
      "label": "Net Change (bps / %)",
      "unitOrFormat": "Delta (bps or %)",
      "description": "Net period-over-period change or structural regime shift."
    },
    {
      "key": "sourceCode",
      "label": "Primary Source Citation",
      "unitOrFormat": "Authority / Filing Code",
      "description": "Official regulatory filing, central bank release, or exchange source code."
    },
    {
      "key": "researchDossierSlug",
      "label": "Source Briefing Slug",
      "unitOrFormat": "URL Slug",
      "description": "Associated institutional research briefing slug on this domain."
    },
    {
      "key": "observationDate",
      "label": "Verification Date",
      "unitOrFormat": "ISO-8601 Date",
      "description": "Date of last fact-check verification by the editorial review board."
    }
  ],
  "rowCount": 10,
  "rows": [
    {
      "seriesId": "QUANT-CALC-101",
      "researchDossierSlug": "black-scholes-merton-implied-volatility-greeks-calculator-guide",
      "category": "Quantitative Pricing & Options Engines",
      "metric": "Theoretical Call / Put Price (S=100, K=100, T=0.25)",
      "currentValue": "$4.3584 / $3.6177",
      "priorPeriod": "σ = 20.0% Baseline",
      "changeBpsOrPct": "Put-Call Parity Verified",
      "sourceCode": "BSM-EXACT-PDE",
      "observationDate": "2026-10-21"
    },
    {
      "seriesId": "QUANT-CALC-102",
      "researchDossierSlug": "black-scholes-merton-implied-volatility-greeks-calculator-guide",
      "category": "Quantitative Pricing & Options Engines",
      "metric": "Option Delta (∂V/∂S) — Call / Put",
      "currentValue": "+0.5299 / -0.4664",
      "priorPeriod": "e^(-qT)N(d1)",
      "changeBpsOrPct": "Net Sum = 0.9963",
      "sourceCode": "GREEKS-1ST",
      "observationDate": "2026-10-21"
    },
    {
      "seriesId": "QUANT-CALC-103",
      "researchDossierSlug": "black-scholes-merton-implied-volatility-greeks-calculator-guide",
      "category": "Quantitative Pricing & Options Engines",
      "metric": "Option Gamma (∂²V/∂S²) & Vega (per 1% σ)",
      "currentValue": "0.0396 / $0.1978",
      "priorPeriod": "ATM 91-Day Tenor",
      "changeBpsOrPct": "+19.8¢ per +100bps Vol",
      "sourceCode": "GREEKS-2ND",
      "observationDate": "2026-10-21"
    },
    {
      "seriesId": "QUANT-CALC-104",
      "researchDossierSlug": "black-scholes-merton-implied-volatility-greeks-calculator-guide",
      "category": "Quantitative Pricing & Options Engines",
      "metric": "Calendar Theta (∂V/∂t per 1/365 day)",
      "currentValue": "-$0.0241 (Call) / -$0.0160 (Put)",
      "priorPeriod": "r=4.50%, q=1.50%",
      "changeBpsOrPct": "-0.55% Premium/Day",
      "sourceCode": "ACT-365-THETA",
      "observationDate": "2026-10-21"
    },
    {
      "seriesId": "QUANT-CALC-105",
      "researchDossierSlug": "macaulay-modified-duration-convexity-bond-yield-calculator",
      "category": "Fixed Income Duration & Portfolio Risk",
      "metric": "Clean Bond Price ($1,000 Par, 4.25% Coupon, 4.18% YTM)",
      "currentValue": "$1,005.67",
      "priorPeriod": "$1,000.00 (Par)",
      "changeBpsOrPct": "+0.567% Premium",
      "sourceCode": "ICMA-ACT-ACT",
      "observationDate": "2026-10-20"
    },
    {
      "seriesId": "QUANT-CALC-106",
      "researchDossierSlug": "macaulay-modified-duration-convexity-bond-yield-calculator",
      "category": "Fixed Income Duration & Portfolio Risk",
      "metric": "Macaulay / Modified Duration",
      "currentValue": "8.24 yrs / 8.07 yrs",
      "priorPeriod": "20 Semi-Annual Periods",
      "changeBpsOrPct": "DV01 = $0.8116 / $1k",
      "sourceCode": "DUR-EXACT",
      "observationDate": "2026-10-20"
    },
    {
      "seriesId": "QUANT-CALC-107",
      "researchDossierSlug": "macaulay-modified-duration-convexity-bond-yield-calculator",
      "category": "Fixed Income Duration & Portfolio Risk",
      "metric": "Bond Price Shock (+100 bps Parallel Shift)",
      "currentValue": "-7.69% ($928.34)",
      "priorPeriod": "-8.07% (Linear Duration Only)",
      "changeBpsOrPct": "+38 bps Convexity Benefit",
      "sourceCode": "CONVEXITY-2ND",
      "observationDate": "2026-10-20"
    },
    {
      "seriesId": "QUANT-CALC-108",
      "researchDossierSlug": "parametric-var-expected-shortfall-cornish-fisher-calculator",
      "category": "Fixed Income Duration & Portfolio Risk",
      "metric": "99% 10-Day Gaussian Parametric VaR ($100M Notional)",
      "currentValue": "$6.44 Million (6.44%)",
      "priorPeriod": "z_0.99 = 2.3263",
      "changeBpsOrPct": "Normal Baseline",
      "sourceCode": "RISK-GAUSS-99",
      "observationDate": "2026-10-20"
    },
    {
      "seriesId": "QUANT-CALC-109",
      "researchDossierSlug": "parametric-var-expected-shortfall-cornish-fisher-calculator",
      "category": "Fixed Income Duration & Portfolio Risk",
      "metric": "99% 10-Day Cornish-Fisher Tail-Adjusted VaR",
      "currentValue": "$8.51 Million (8.51%)",
      "priorPeriod": "z_CF = 3.0741 (S=-0.65, K=2.4)",
      "changeBpsOrPct": "+32.1% Tail Add-On",
      "sourceCode": "CORNISH-FISHER",
      "observationDate": "2026-10-20"
    },
    {
      "seriesId": "QUANT-CALC-110",
      "researchDossierSlug": "parametric-var-expected-shortfall-cornish-fisher-calculator",
      "category": "Fixed Income Duration & Portfolio Risk",
      "metric": "97.5% 10-Day Expected Shortfall (Basel FRTB ES)",
      "currentValue": "$7.89 Million (7.89%)",
      "priorPeriod": "Coherent Subadditive Metric",
      "changeBpsOrPct": "FRTB IMA Standard",
      "sourceCode": "BIS-MAR-33",
      "observationDate": "2026-10-20"
    }
  ]
}