Derivatives ONE features a free interest rate swap calculator. The calculator values the swap, calculates the accrued interest on both legs of the swap and provides sensitivity measures such as the PV01 of the swap.
Firstly enter the swap details such as the swap rate, spread, index fixing, start date, valuation date and maturity date. Then set the the applicable interest rate business day and day count conventions for both the fixed and floating legs of the swap.
Next, enter the yield curve data, any combination of futures prices, deposit rates and swap rates can be used:
Finally, the calculator outputs the valuation of the swap together with a schedule of the swaps cash flows and the sensitivity:Sign Up for the Interest Rate Swap Calculator