Equity Swap Calculator
In an equity swap, two parties exchange the return on an equity index for a fixed or floating interest payment, and only the net difference changes hands. This calculator prices one settlement period for the two standard structures: a fixed-rate leg against the equity leg, and a floating-rate leg against the equity leg. It shows both legs, the net payment, and in plain words which party receives it. It is a settlement calculator, not a swap valuation model: there is no discounting, no multi-period schedule and no dividend input, and the page says exactly where those limits bite.
Quick Answer
Fixed mode, pre-filled above: on a $100,000 notional with a 4% fixed rate per year for 90 days on a 360-day basis and a 6% equity return, the fixed leg is $1,000.00, the equity leg is $6,000.00, and the equity leg receiver receives the net $5,000.00. Floating mode: on a $10,000,000 notional at a 5% reference rate for 90 days on a 360-day basis, with the index rising from 4,000 to 4,200, the floating leg is $125,000.00, the equity leg is $500,000.00, and the net payment is $375,000.00 to the equity receiver.
Key takeaways
- Both modes treat their rate as an annual rate and scale it by days ÷ basis. A 4% fixed rate per year for 90 days on a 360 basis is a 1% charge on the notional, not 4%. Check the days and basis fields before trusting either result.
- Only the net difference is paid. The notional is never exchanged and neither gross leg is settled in full.
- The equity leg in floating mode is a price return only: index start to index end. Dividends are not an input in either mode.
- This prices one settlement period. Valuing a live multi-period swap needs discount factors and a term structure, which this tool does not attempt.
- Quick Answer
- How to use this calculator
- The formulas, exactly as coded
- Both rates are annual: the days and basis do the scaling
- Worked examples, including a falling index
- What this tool prices, and what it does not
- Validation and edge cases, disclosed
- What competing calculators miss
- Frequently asked questions
- Add This Calculator to Your Website
- References
How to use this calculator
Pick the tab that matches your swap, check the pre-filled worked example, then replace the figures with your own.
- Fixed leg vs equity: enter the notional, the fixed rate per year, the days in the period, the day-count basis, and the equity return for the same period. The annual rate is scaled by days ÷ basis, exactly as in floating mode.
- Floating leg vs equity: enter the notional, the annual reference rate (such as SOFR), the days in the period, the day-count basis, and the index level at the start and end of the period.
- Read the direction line, not just the sign. The result states which receiver is paid the net amount, so a negative net is never left for you to interpret.
The formulas, exactly as coded
Fixed Leg = Notional × (Fixed Rate ÷ 100) × (Days ÷ Day-Count Basis)
Equity Leg = Notional × (Equity Return ÷ 100)
Net Payment = Equity Leg − Fixed Leg
Floating mode:
Floating Leg = Notional × (Reference Rate ÷ 100) × (Days ÷ Day-Count Basis)
Equity Leg = Notional × (Ending Index − Starting Index) ÷ Starting Index
Net Payment = Equity Leg − Floating Leg
On the fixed leg’s 30/360 basis, the days entered are snapped to whole 30-day months first, so a quarter is exactly 0.25 of a year and a half-year exactly 0.5.
A positive net means the equity leg outperformed and the equity leg receiver is paid. A negative net means the interest leg outperformed and its receiver is paid the absolute value. A net of exactly zero is reported as legs being equal, with no payment. These are the standard one-period settlement formulas used in derivatives teaching material, such as the worked equity swap examples in Financial Edge's equity swaps guide: value each leg on the notional, then settle the difference.
Both rates are annual: the days and basis do the scaling
Swap rates are quoted per year, and both tabs treat them that way: the entered rate is scaled by the period before it touches the notional. A 4% annual fixed rate for 90 days on a 360 basis charges 1% of the notional ($1,000 on $100,000), and a 5% floating rate for the same period charges 1.25%. Entering the same 4% in both modes therefore describes the same kind of deal, differing only in the days and basis you set. The fixed leg offers two bases: Act/360 (actual days over a 360-day year, the money-market convention the floating leg uses) and 30/360, the basis plain interest-rate swaps conventionally use for their fixed legs, under which each month counts as 30 days so a regular quarter is exactly 0.25 of a year and a half-year exactly 0.5. This tool has no start and end dates, so for 30/360 it snaps the days you enter to the nearest whole 30-day month before dividing by 360.
Worked examples, including a falling index
Every row below is a real run of this calculator, covering both modes, both day-count bases and a market fall.
| Scenario | Interest leg | Equity leg | Net payment |
|---|---|---|---|
| Fixed: $100,000 notional, 4% per year, 90 days, basis 360, 6% equity | $1,000.00 | $6,000.00 | $5,000.00 to equity receiver |
| Fixed: $100,000 notional, 7% per year, 90 days, basis 360, equity return -3% | $1,750.00 | $-3,000.00 | $4,750.00 to fixed receiver |
| Floating: $10,000,000, 5%, 90 days, basis 360, index 4,000 to 4,200 | $125,000.00 | $500,000.00 | $375,000.00 to equity receiver |
| Floating: same, basis 365 | $123,287.67 | $500,000.00 | $376,712.33 to equity receiver |
| Floating: $10,000,000, 5%, 90 days, basis 360, index falls 4,200 to 4,000 | $125,000.00 | $-476,190.48 | $601,190.48 to floating receiver |
The last row shows why the direction line matters. When the index falls, the equity leg is negative, so the equity leg payer owes both the interest amount and the index loss: the net payment of $601,190.48 is larger than either gross leg. The day-count rows show a smaller but real effect: changing only the basis from 360 to 365 moves the settlement by $1,712.33 on this notional.
What this tool prices, and what it does not
- One period only. A real equity swap settles repeatedly, resetting the reference rate and index level each period. Run this calculator once per period with that period's figures.
- No valuation or discounting. Pricing a live swap mid-life means discounting every remaining payment, the approach set out in AnalystPrep's CFA notes on pricing equity swap contracts. This tool settles a period; it does not mark a swap to market.
- No dividends, no spread. The floating-mode equity leg uses index levels only, so it is a price-return leg. Contracts written on a total-return basis, or with a spread over the reference rate, need that term added outside this tool. If the equity leg return itself is what you are estimating, an EPS growth calculator covers the earnings side of equity performance.
- No counterparty or tax treatment. Settlement here is the contractual amount before collateral, credit adjustments and tax. For the rate conventions behind the interest leg, the effective interest rate calculator shows how periodic rates convert to an annual figure, and an after-tax yield calculator covers what a received payment is worth after tax. For other derivative payoffs, the option Greeks calculator prices sensitivity rather than settlement.
Validation and edge cases, disclosed
Both modes require a notional above zero and reject blank fields with the message "Please enter valid numbers greater than zero where required." Beyond that, the modes differ. Fixed mode accepts negative rates, including a negative fixed rate, which produces a negative fixed leg, and it requires days above zero. Floating mode rejects a negative reference rate and requires days and the starting index to be above zero, but it places no floor on the ending index: an ending value of 0 prices a total loss (an equity leg of negative 100% of notional), and a negative ending value is accepted and prices a loss larger than the notional. Index levels cannot be negative in practice, so treat that output as an input error. Fractional days are also accepted, which is occasionally useful for odd first periods.
What competing calculators miss
- Fixed-only tools miss the market-standard structure: Calculator Gek and Brave Calculator price a fixed leg against an equity return and stop there. Most real equity swaps pay a floating rate, which needs index levels, days and a day count that those tools have no inputs for.
- Floating-only tools hard-code the year: Calculators Hub covers the floating structure but fixes the basis at 360 inside the formula, even though its own page notes the convention can be 360 or 365. On a $10 million notional that hidden choice is worth $1,712.33 per quarter. Here the basis is a visible input.
- Sign-only results leave the payer ambiguous: several tools print a signed net figure and let you work out who pays. This calculator states the receiving party in words on every result.
- Textbook treatments do not settle anything: CFA-style pricing material values whole swaps with discount factors, which is the right method mid-life and heavy machinery for checking one period's settlement. This page is explicit about doing the smaller job.
Frequently asked questions
An equity swap is a derivative contract in which one party pays the return on an equity index or stock and the other pays a fixed or floating interest rate, both computed on an agreed notional amount. Only the net difference is exchanged, so the parties get equity exposure and interest exposure without trading the underlying assets.
Value each leg separately on the notional and subtract: Net Payment = Equity Leg − Interest Leg. A positive result is paid to the equity leg receiver; a negative result is paid to the interest leg receiver. On a $100,000 notional with a 4% fixed rate per year for 90 days on a 360-day basis and a 6% equity return, the legs are $1,000.00 and $6,000.00 and the net payment is $5,000.00 to the equity receiver.
The fixed rate is an annual rate, and the fixed leg is Notional × (Fixed Rate ÷ 100) × (Days ÷ Day-Count Basis). A 4% annual rate for 90 days on a 360 basis therefore charges 1% of the notional. On the 30/360 basis the days are first snapped to whole 30-day months, so a quarter is exactly 0.25 of a year. Floating mode works the same way: its reference rate is also annual and is scaled by days divided by the day-count basis.
The notional is the reference value used to compute payments. It is never exchanged; it only scales the legs. A $10 million notional with a 5% rate produces a $500,000 annual payment rate, not a $10 million payment, and settlements are only ever the net difference between the legs.
Money-market convention often accrues interest on a 360-day year, which slightly increases the floating payment versus a 365-day basis. On a $10 million notional at 5% for 90 days, the floating leg is $125,000.00 on a 360 basis and $123,287.67 on a 365 basis, a difference of $1,712.33 in one quarter.
The interest leg receiver. A falling index makes the equity leg negative, so the equity leg payer owes the interest amount plus the index loss. With a $10 million notional, a 5% rate for 90 days on a 360 basis and the index falling from 4,200 to 4,000, the net payment is $601,190.48 to the floating leg receiver.
Not in this calculator. Fixed mode takes the equity return you enter, which can include dividends if you add them yourself. Floating mode computes the return from index levels only, which is a price return. A total-return swap would credit dividends to the equity leg as well, increasing the equity leg and the net payment to the equity receiver.
Both exist in contracts, but settlement is always period by period. This calculator prices a single settlement period, which is the building block: a multi-period swap is a series of these settlements, with the reference rate and index start level reset at the start of each period. It does not discount future periods or mark a live swap to market.
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References
- Financial Edge Training. Equity Swaps: Definition and Worked Example. Accessed October 21, 2026.
- AnalystPrep. Pricing and Valuing Equity Swap Contracts (CFA Level II). Accessed October 21, 2026.
- Calculators Hub. Equity Swap Calculator (floating structure, 360-day basis in formula). Accessed October 21, 2026.
- Breaking Down Finance. Equity Swap Valuation. Accessed October 21, 2026.