Analyze fixed and floating legs with payment schedules. Test discount rates, forwards, and positions easily. See valuation outputs, cash flows, and charts instantly today.
| Payment Time (yrs) | Accrual Fraction | Zero Rate % | Forward Rate % |
|---|---|---|---|
| 0.25 | 0.25 | 4.20 | 4.35 |
| 0.50 | 0.25 | 4.25 | 4.40 |
| 0.75 | 0.25 | 4.30 | 4.45 |
| 1.00 | 0.25 | 4.35 | 4.50 |
| 1.25 | 0.25 | 4.40 | 4.55 |
| 1.50 | 0.25 | 4.45 | 4.60 |
This sample represents a six-period plain-vanilla swap schedule with quarterly accruals, zero rates for discounting, and forward rates for expected floating coupons.
Fixed cash flow per period = Notional × Fixed Rate × Accrual Fraction
Floating cash flow per period = Notional × Forward Rate × Accrual Fraction
Discount factor depends on the selected compounding method and zero rate for each payment time.
Fixed leg present value = Sum of all fixed cash flows × corresponding discount factors
Floating leg present value = Sum of all floating cash flows × corresponding discount factors
Net swap value = Receive leg PV − Pay leg PV
Par swap rate = Floating Leg PV ÷ (Notional × Sum of Accrual Fraction × Discount Factor)
PVBP is estimated as Notional × Sum of Accrual Fraction × Discount Factor × 0.0001. It helps show approximate value change for a one-basis-point coupon move.
It values a plain-vanilla interest rate swap by discounting projected fixed and floating coupon cash flows. It then reports each leg’s present value, net value, par swap rate, and sensitivity summary.
Discount factors convert future payments into today’s value. A payment due later is worth less than one due sooner, so valuation must use payment timing and market discount rates together.
A payer-fixed position pays the fixed coupon stream and receives floating payments. Its value rises when projected floating cash flows become more valuable than the fixed leg on a discounted basis.
Yes. Enter a parallel shock in basis points. The calculator shifts both zero and forward rates by that amount, allowing a quick scenario view of valuation changes under higher or lower rates.
The par rate is the coupon that would make the swap’s net value close to zero under the supplied curve. If your fixed coupon differs, the swap will usually show a gain or loss.
No. This page is designed for standard coupon-only plain-vanilla interest rate swaps. It does not include amortizing notionals, principal exchanges, stubs, convexity adjustments, or cross-currency features.
Use one row per payment. Each row should contain payment time in years, accrual fraction, zero rate percent, and forward rate percent, separated by commas.
A negative result means the swap is a liability for the selected position under the entered assumptions. The pay leg’s discounted value exceeds the receive leg’s discounted value.
Important Note: All the Calculators listed in this site are for educational purpose only and we do not guarentee the accuracy of results. Please do consult with other sources as well.