Compounded in arrears against a simple average calculator

Compounded in arrears against a simple average, worked through in your browser.

Interactive: compounded in arrears against a simple averageHard

An overnight rate that moves across a period, built into a rate for that period two ways: compounded daily, which is what the contract says, and averaged, which is what people say out loud. The gap is small and it is not zero, and it grows with the level of rates.

Overnight rate at the start % Overnight rate at the end % Days in the interest period Day-count basis Notional (m)

Compounded in arrears: —
Simple average of the fixings: —
Difference: —
Interest actually due: —
Difference in money: —
Reading: —

A straight-line path between the two rates, every calendar day treated as a business day, and no lookback or observation shift — the arithmetic of compounding, not a settlement calculation. A real contract names its convention and it matters. Information and education only.

The idea behind it

This calculator belongs to Reference Rates, where the mechanism it computes is explained step by step, with the formula, what each input means and where the simple model stops being right. Everything is computed in your browser; nothing you type is sent anywhere.

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Not advice. This explains how something works; it is not a recommendation, and nothing here is tailored to you. You can lose everything you put in — with leveraged instruments, considerably more. StrikeAndYield is not a regulated firm and provides no financial services.

The same in full — six points, and why each one matters

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Nothing here is tailored to you. This is written for a general audience. It does not consider your objectives, financial situation, knowledge, time horizon or tolerance for loss.
The examples are simplified. Worked examples use round numbers and leave out costs, spreads, taxes, collateral, settlement and market conventions that materially change real outcomes.
The models are teaching models. Formulas shown are standard textbook formulations. Institutions add calibration, live market data and credit, funding and capital adjustments — nothing here will reproduce a dealer’s quote or produce a valuation you can rely on.
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