Template:Isda def Calculation Period summ

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.