Calculation Period - ISDA Definition

ISDA Definitions Go Premium In a Nutshell™ Section 4.13: Section 4.13. Calculation Period. The “Calculation Period” for any party to a Swap Transaction means each period from (and including) one Period End Date to (but excluding) the next one during the Term (except that the first Calculation Period will start on the Effective Date and the last one will end on the Termination Date). view template 2006 ISDA Definitions: The full text of Section 4.13: 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. view template Resources: 2006 ISDA DefinitionsArticles: 1 General definitions | 2 Parties | 3 Term and dates | 4 Definitions relating to payments | 5 Fixed Amounts | 6 Floating Amounts | 7 | 8 | 9 Payments | 10 | 11 | 12 | 13 Exercise of Options | 14 | 15 | 16 Optional Early Termination | 17 Mandatory Early Termination | 18 Cash Settlement | 19 ISDA Settlement Matrix | Comments? Questions? Suggestions? Requests? Insults? We’d love to 📧 hear from you. Sign up for our newsletter.

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.

Right oh.

See also

• Benchmark
• Floating rate and fixed rate