In all files, 1st row is the latest observation Observations are weekly (w/ a few missing weeks) updated_FX.txt ============== data from British Bankers Association col 1 "date as a real number" col 2-4 YYYY, MM, DD col 5 spot (# USD needed to get 1 EURO) col 6 1-week imp' vol' w/ strike given in col 18 col 7-9 1-month imp' vol' w/ strikes given in col 19-21 col 10-12 3-month imp' vol' w/ strikes given in col 22-24 col 13 6-month imp' vol' w/ strike given in col 25 col 14-16 1-year imp'vol' w/ strikes given in col 26-28 col 17 2-year imp' vol' w/ strike given in col 29 col 18-29 strikes; "see above" col 30 US interest rate col 31 EURO interest rate updated_SPX.txt and updated_EUX.txt ============== data from a large investment bank shall remain nameless col 1 date in the format YYYYMMDD col 2 spot SP500 resp. EUROSTOXX50 index col 3-7 3-month imp' vol' for options w/ strikes (1.1, 1.05,1,0.95,0.9) * spot (i.e. high-to-low) col 8-12 6-month imp' vol' for options w/ strikes (1.1, 1.05,1,0.95,0.9) * spot col 13-17 1-year imp' vol' for options w/ strikes (1.1, 1.05,1,0.95,0.9) * spot col 18-20 3M, 6M and 1Y interest rates (i.e. short-to-long) col 21-23 3M, 6M and 1Y dividend yields