Interest Rate Swap Calculator
Calculate interest rate swap valuations, payments, risk metrics, and mark-to-market values.
Swap Position
$
%
%
%
years
%
Swap Mark-to-Market Value
$1.50M
Current position: asset
Net Payment
$135,000
DV01
$15,000
Payment Analysis
Fixed Leg Payment$531,250
Floating Leg Payment$666,250
Net per Period+$135,000
Annual Net$540,000
Risk Metrics
Swap Duration2.70 years
Breakeven Floating Rate4.250%
Impact of 100bp Rate Rise+$1.50M
Position Summary
- - Paying fixed at 4.25%
- - Receiving floating at 5.33%
- - 12 payments remaining over 3 years
- - Benefits from rising rates