FRA settlement calculator

Lock a future rate, settle the difference.

Interactive: FRA settlementMedium

A forward rate agreement locks a future interest rate today. At fixing, only the difference changes hands — discounted, because it's paid at the period's start.

Notional ($m) FRA rate % Actual fixing % Period (months)

Settlement (discounted): —
Who receives: —
Undiscounted difference: —

Settlement = N·(L−F)·τ / (1+L·τ). The buyer profits when rates fix above the agreed rate — a one-period swap, which is exactly what a swap is a strip of.

The idea behind it

This calculator belongs to Rates Derivatives, 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.

Instruments it applies to

Interest Rate Swap — Swap fixed interest for floating: the workhorse of global finance, and the largest derivatives market there is.
Overnight Index Swap — A swap against the overnight rate itself — the cleanest read on where central banks are headed.
Forward Rate Agreement — Lock today the interest rate for a loan that starts in the future — one period, one payment, pure simplicity.
Swaption — An option to enter a swap — the instrument through which the market prices interest-rate uncertainty itself.
Cap & Floor — A ceiling or floor on floating interest — insurance against rates going where you can't afford them to.
Bond Future — The exchange-traded proxy for government bonds — and a delivery puzzle that keeps traders honest.
STIR Future — Exchange-traded bets on short-term rates — the deepest, fastest market for central-bank expectations.
Inflation Swap — Fix the inflation rate itself: one side pays realised CPI, the other a rate agreed today.

More calculators from Rates Derivatives

Swap mark-to-market & DV01 — annuity, DV01, payer/receiver value.
Implied forward rate — the rate hidden between two curve points.
Swaption pricer (Black's model) — the option on a swap, priced on the forward rate and its annuity.

All calculators

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

No advice, no recommendation. Nothing on this page constitutes investment, financial, legal, tax or accounting advice, a personal recommendation, or an offer or solicitation to buy or sell any financial instrument.
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.
These instruments carry risk. You can lose your entire investment. Leveraged instruments — futures, options, CFDs, perpetual futures and similar — can cost you considerably more than you originally deposited.
We are not a regulated firm. StrikeAndYield is an independent publication by DELISORIA. It is not a bank, broker, fund manager or licensed adviser, it provides no financial services, and reading it creates no client relationship. For decisions about your own money, consult a professional licensed in your jurisdiction. See the full disclaimer.