Calculation Period - ISDA Definition: Difference between revisions

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]]<ref>Okay, or whatever the hell benchmark they use now. Don’t ask me.</ref> for fixed interest, then the Calculation period for the [[floating leg]] will be (drum roll) three months. The {{isdadefsprov|Calculation Period}} for the [[Fixed rate|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 teh economic payoff of your swap; since [[fixed rate]]s aren't affected by prevailing interest rates the length of {{isdadefsprov|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.