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    Rates / interest-rate swap

    Interest rate swap calculator

    An interest-rate swap exchanges a fixed rate for a floating one on a notional that never changes hands. This calculator prices the annual net payment, discounts the stream to an NPV, and shows how the value moves with the floating rate.

    Notional$10,000,000Fixed4.00%Floating3.50%
    Annual net
    $50,000
    Fixed payer pays
    NPV of the stream
    -$222,591
    Discounted at 4.00%
    Total undiscounted
    -$250,000
    Over 5 years
    Annuity factor
    4.4518
    PV of 1 per year for the term
    Swap economics
    Only the difference changes hands; the notional is never exchanged.
    $10,000,000
    Swap economics
    ItemValue
    Fixed leg$400,000 a year
    Floating leg$350,000 a year
    Net−$50,000 a year
    Term5 years
    NPV-$222,591

    A positive NPV means the swap is an asset to the fixed-rate payer at the assumed floating path.

    Inspect the model
    Choose a quick result view, a scaled comparison, or the complete diagnostic set.
    Swap NPV against the floating rate
    The break-even floating rate is the fixed rate; the slope is the annuity factor.
    Swap NPV against the floating rate-$1269.7k-$828.4k-$387.1k$54.1k$495.4k$936.7k1.4%1.4%1.8%1.8%2.2%2.2%2.7%2.7%3.1%3.1%3.5%3.5%3.9%3.9%4.3%4.3%4.8%4.8%5.2%5.2%5.6%5.6%NPV
    Canonical equations
    The exact relationships implemented by this engine.

    N × (floating − fixed) · Only the difference is exchanged.

    net × annuity factor · Discount each year at the swap curve.

    floating = fixed · Where the swap is worth zero at inception.

    finance methodology

    A clear path from inputs to results.

    An interest-rate swap exchanges a fixed rate for a floating one on a notional that never changes hands. This calculator prices the annual net payment, discounts the stream to an NPV, and shows how the value moves with the floating rate.

    Step-by-step methodWorked exampleAssumptions explained

    How to use

    1. Enter the notional.
    2. Set the fixed rate paid and the floating rate received.
    3. Choose the term and the discount rate.
    4. Read the annual net, the NPV and the break-even rate.

    The formula

    Net=N(S−L),NPV=Net⋅1−(1+r)−nr\text{Net} = N(S - L), \qquad NPV = \text{Net} \cdot \frac{1-(1+r)^{-n}}{r}

    Reference: Single-curve swap valuation; break-even at the par swap rate.

    Worked example

    $10M, pay 4.0%, receive 3.5%, 5 years

    Inputs
    • Notional $10,000,000.
    • Fixed 4.0%, floating 3.5%.
    • 5 years, 4% discount.
    Calculation path
    1. 1

      Annual net: 10,000,000 × (3.5% − 4.0%) = −$50,000.

    2. 2

      Annuity factor at 4% for 5 years: 4.4518.

    3. 3

      NPV: −50,000 × 4.4518 = −$222,591.

    4. 4

      The swap is a liability to the fixed-rate payer while floating sits below fixed.

    Result

    Pays $50,000 a year · NPV −$222,591.

    Interpreting the result

    The NPV is just the net payment times an annuity factor, which is why the break-even floating rate is exactly the fixed rate. What moves in practice is the floating leg and the discount curve, and both are repriced continuously in the market.

    Assumptions & limitations

    • Annual payments, no day-count conventions.
    • Flat discount curve.
    • No collateral, credit valuation adjustment or initial margin.
    • Single-curve discounting.

    Frequently asked questions

    Who pays whom?

    The fixed-rate payer pays fixed and receives floating; the net difference changes hands.

    Does the notional change hands?

    No. Only the net interest difference is exchanged.

    Why is the NPV negative here?

    Because the floating rate is below the fixed rate you agreed to pay.

    Methodology last reviewed 2026-10-21. Results are informational and not financial or engineering advice — see our disclaimer.