Calculation Period - ISDA Definition

2006 ISDA Definitions A Jolly Contrarian owner’s manual™ Go premium Overview — Summary — Premium — See also — Wikitext Crosscheck: →2006 →2021 Calculation Period in a Nutshell™ The JC’s Nutshell™ summary of this term has moved uptown to the subscription-only ninja tier. For the cost of ½ a weekly 🍺 you can get it here. Sign up at Substack. You can even ask questions! Ask about it here. Original text Section 4.13. Calculation Period. “Calculation Period” means, in respect of a Swap Transaction and a party, each period from, and including, one Period End Date of that party to, but excluding, the next following applicable Period End Date during the Term of the Swap Transaction, except that (a) the initial Calculation Period for the party will commence on, and include, the Effective Date and (b) the final Calculation Period for the party will end on, but exclude, the Termination Date. Template:M comp isda def Resources and Navigation Template:Res isda def

Basics

A simple and functional definition. Most swaps will have periods (shorter than the whole term of the swap) over which or by reference to which rates are calculated. the obvious one is the interest rate swap. If you are swapping three month LIBOR for fixed interest, then the Calculation period for the floating leg will be (drum roll) three months. The Calculation Period for the fixed leg maybe three, six or even twelve months: while with a floating rate, you set the new rate by reference to the prevailing benchmark at the end of a period, the length of the Calculation Period can make a big difference to the economic payoff of your swap; since fixed rates aren't affected by prevailing interest rates the length of Calculation Period is to a large extent uncontroversial, if not totally academic— all that really differs is how often you get your money, and with how much compounding.

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See also

• Benchmark
• Floating rate and fixed rate