Cross Currency Swap Calculator

Model the interest differential and FX gain or loss on a cross currency swap.

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Cross Currency Swap Calculator

Enter the notional, both interest rates and the spot and forward rates.

Net position over the term
β€”
Enter values above
Annual interest difference
β€”
Total interest difference
β€”
FX gain or loss on notional
β€”
Effective annual return
β€”
Implied forward rate
β€”

Worked example

With the default inputs shown below, this calculator returns the following results:

InputValue
Notional amount ($)1000000
Domestic interest rate (%)5
Foreign interest rate (%)3
Term (years)5
FX spot rate1.1
FX forward rate1.15
ResultValue
Net position over the term-$54,545.45
Annual interest difference-$20,000.00
Total interest difference-$100,000.00
FX gain or loss on notional$45,454.55
Effective annual return-1.09%
Implied forward rate$1.21

Values shown are produced by this page in your browser; change any input to update them.

How to use the Cross Currency Swap Calculator

  1. Notional amount ($) β€” default 1000000
  2. Domestic interest rate (%) β€” default 5
  3. Foreign interest rate (%) β€” default 3
  4. Term (years) β€” default 5
  5. FX spot rate β€” default 1.1
  6. FX forward rate β€” default 1.15
  7. Press Calculate to update the results instantly.

Frequently asked questions

Two parties exchange principal and interest in different currencies. Each pays interest in the currency it borrowed, and the principals are exchanged back at maturity at a pre-agreed rate.
Because of the interest rate differential. The currency with the higher interest rate trades at a forward discount β€” that is interest rate parity, and it is why a rate advantage is normally offset in the FX leg.
Not risk-free. The implied forward rate already prices the differential, so any gain depends on the actual future spot rate differing from the forward.

Sources & references