Swap Rate Calculator | Risk Management

Calculator Inputs

Use the form below to estimate the par fixed rate of a plain fixed-for-floating interest rate swap and evaluate quote sensitivity.

Currency

Notional Amount

Enter the principal used to size swap coupons.

Swap Term (Years)

Examples: 2, 3, 5, 7, or 10 years.

Payments Per Year

Starting Discount Rate (%)

Flat starting zero rate used to build discount factors.

Discount Curve Step Per Period (bps)

Positive values steepen the curve over later periods.

Starting Forward Rate (%)

Expected floating coupon rate for the first period.

Forward Curve Step Per Period (bps)

Adds or subtracts basis points for each later coupon.

Floating Spread (bps)

Use this for margin over the projected forward curve.

Quoted Fixed Rate (%)

Enter a market or proposed fixed coupon to test NPV.

Position

Example Data Table

This sample illustrates how period assumptions can be structured for a quarterly swap review.

Period	Time (Years)	Zero Rate	Forward Rate	Discount Factor	Coupon Fraction
1	0.25	4.50%	4.80%	0.9889	0.25
2	0.50	4.55%	4.83%	0.9775	0.25
3	0.75	4.60%	4.86%	0.9659	0.25
4	1.00	4.65%	4.89%	0.9541	0.25

Formula Used

This calculator prices a plain fixed-for-floating swap by discounting projected floating coupons and converting that value into a fair fixed coupon.

1) Discount Factor
DF_i = 1 / (1 + z_i / m)ⁱ

2) Floating Cash Flow
Floating CF_i = Notional × α × F_i

3) Fixed Leg Annuity
A = Σ(α × DF_i)

4) Fair Swap Rate
Fair Fixed Rate = Σ(DF_i × α × F_i) / Σ(DF_i × α)

5) Fixed Leg Present Value at Quoted Rate
PV_fixed = Notional × Fixed Quote × A

6) Swap NPV
Pay Fixed: NPV = PV_floating − PV_fixed
Receive Fixed: NPV = PV_fixed − PV_floating

7) Fixed Leg PV01
PV01 = Notional × A × 0.0001

How to Use This Calculator

Choose the currency, notional, term, and payment frequency.
Enter the starting discount rate and any per-period discount curve step.
Enter the starting forward rate and any forward step across periods.
Add a floating spread if your swap references forward plus margin.
Enter the quoted fixed rate you want to test against fair value.
Select whether you pay fixed or receive fixed.
Press Calculate Swap Rate to show the result above the form.
Review the summary cards, graph, and detailed cash flow schedule.
Use the CSV and PDF buttons to export your analysis.

Frequently Asked Questions

1) What is a swap rate?

A swap rate is the fixed coupon that makes a new swap start with near-zero value. It balances discounted fixed and floating legs.

2) Why does the discount curve matter?

Each future cash flow is worth less today. The discount curve converts later coupons into present value, which directly changes fair rate and NPV.

3) What does the forward curve represent?

The forward curve estimates expected floating coupons for each period. Higher projected forwards usually increase the fair fixed swap rate.

4) What does pay fixed mean?

Pay fixed means you owe the fixed coupons and receive floating coupons. Your NPV rises when floating value exceeds fixed value.

5) What is PV01?

PV01 measures how much the fixed leg value changes for a one-basis-point move in fixed rate. It is a common interest rate risk metric.

6) What is curve DV01?

Curve DV01 estimates NPV sensitivity to a one-basis-point parallel shift in discount rates. It helps you understand valuation exposure to rate moves.

7) Can I use this for all swap structures?

This version is designed for standard fixed-for-floating swaps with simplified curves. Exotic swaps, amortizing notionals, or stubs need custom modelling.

8) Why is my quoted fixed rate different from the fair rate?

A difference means the tested coupon is richer or cheaper than the projected floating value. That gap creates positive or negative NPV.