RFR Calculator

Risk Free Rate Calculator

Overnight Index	Overnight index rate that is published by the respective central banks that is used for calculations. The following rates are available: €STR SONIA SOFR TONA SARON SORA For more details on the overnight index rates, including their start date and the publishing website, check the Reference rates section. Rates are updated on a regular basis, but some recent rates might not be available due to licensing restrictions.
Start date	Start date of the first interest period in the rolled out schedule. If the selected Start date is not a business day, the start date will be modified according to the selected Business day convention considering the choosen Calendar.
End date	End date of the last interest period in the rolled out schedule. Similar to Start date, the effective end date can differ from the defined end date due to business day adjustment. The End date has to be at least one business day after the start date.
Interest period length	Sets the length of each interest period in the rolled out schedule.
Schedule generation	The payment schedule can be rolled out beginning from the start date ('Forward') or end date ('Backward'). Setting the short or long stub defines the generation of the last payment step - the final period will be shorter (short stub) or longer (long stub) than the selected interest period length to meet the schedule’s end date (if ‘Forward’ was chosen) or start date (if ‘Backward’ was chosen).
Reference lag	Number of business days to look back when determining the overnight rate used for any day in the risk free rate calculations. For example, if the start date is Friday, 9th of July 2021 and a 3-day reference lag is chosen, the rate fixed on Tuesday, 6th of July 2021 will be used.
Lockout days	Sometimes also called Suspension period. Number of days at the end of an interest period for which the reference rate will be locked in, i.e. for this number of days the reference rate of the previous day will be applied. A 2-5 lockout period is used in most SOFR FRNs.
Day count convention	Day count convention used for interest rate calculations. Two conventions can be chosen, ACT/360 and ACT/365. Defaults are 'ACT/360' for ESTR, SOFR and SARON and 'ACT/365' for SONIA, SORA and TONA.
Business day convention	Convention used to shift interest period start or end dates, in case the chosen date is not a business day. Default is 'Modified following'.
Compounding methods	Method used to calculate the interest rate for each period. Options are compounding or arithmetic average. Arithmetic average: The average overnight rate r_p for each interest period p is calculated as follows: $r_p = sum_(i=1)^n r_i/n$ where r_i is the applicable rate for day i and n is the number of calender days in the looked at interest period, including the start date and excluding the end date. Compounding: The compounded overnight rate r_p for each interest period p is calculated as follows: where r_i is the applicable rate for day i, a_i is the number of days r_i applies to, n is the number of calender days in the looked at interest period, including the start date and excluding the end date and d is the day count fraction denominator of the used day count convention, either 360 or 365.
Calendar	Holiday calendar that is used to determine non-business days. By default, the holiday calendar valid for the publishing authority of the selected overnight index is used.
Round results	Number of decimal places the calculated interest rates are rounded to. Input values or intermediate results will not be rounded.