Quickly evaluate and compare interest rate swaps. Discover insights and minimize risks with this powerful tool that gives you clarity and confidence.
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An interest rate swap is a financial derivative contract where two parties agree to exchange one stream of interest payments for another over a set period, based on a notional principal amount (which is never exchanged).
Most swaps involve:
Net Cash Flow (per period) = (Fixed Rate × Notional) - (Floating Rate × Notional)To compute the swap’s value, we discount future net cash flows:
PV_swap = PV_fixed_leg - PV_floating_legFixed Leg:
PV_fixed_leg = Σ (Fixed Rate × Notional × Δt) / (1 + r)^tFloating Leg:
PV_floating_leg = Σ (Expected Floating Rate × Notional × Δt) / (1 + r)^tStart calculating your swap's true cost or gain—run a scenario now and take control of your financial strategy.
| Parameter | Example 1 | Example 2 | Edge Case |
|---|---|---|---|
| Notional Amount | $1,000,000 | $5,000,000 | $0 |
| Fixed Interest Rate | 4% | 3.5% | 2% |
| Floating Interest Rate | SOFR + 0.75% | LIBOR + 0.5% | LIBOR - 0.25% |
| Current Reference Rate | SOFR = 4.2% | LIBOR = 3.8% | LIBOR = -0.1% |
| Effective Floating Rate | 4.95% | 4.3% | -0.35% |
| Net Difference (Annual) | -0.95% | -0.8% | +2.35% |
| Annual Cash Flow Impact | -$9,500 | -$40,000 | $0 |