Swap mark-to-market & DV01 calculator
In short
Annuity, DV01, payer/receiver value.
Interactive: swap mark-to-market & DV01Medium
You pay fixed on a swap struck at K. Rates move to S — what's your position worth, and how sensitive is it?
- Annuity factor
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- DV01
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- Payer MTM
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- Receiver MTM
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Annual payments, flat continuous discounting — the textbook skeleton of \(V = (S-K) \times A \times N\). Real desks bootstrap full curves; the intuition is identical.
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
- Implied forward rate — the rate hidden between two curve points.
- FRA settlement — lock a future rate, settle the difference.
- Swaption pricer (Black's model) — the option on a swap, priced on the forward rate and its annuity.