Overnight Risk-Free Rate Calculator

Following the global transition away from IBORs (Interbank Offered Rates) such as LIBOR, financial markets have adopted overnight Risk-Free Rates (RFRs). The most prominent among these are SONIA (GBP), SOFR (USD), and €STR (EUR). Unlike term rates which are known in advance, overnight rates are backward-looking and must be compounded or averaged over the interest period.

Industry-Standard Methodologies

This calculator implements commonly used conventions described by the Loan Market Association (LMA) and the International Swaps and Derivatives Association (ISDA). It supports both Simple In Arrears and Compounded In Arrears methodologies.

• Lookback & Lockout: Advanced period adjustments to provide interest payment notice before the end of the accrual period.
• Observation Shift: Optional weighting shifts that align the day-count fraction with the rate observation period.
• Credit Adjustment Spreads (CAS): Built-in support for transition spreads applied during IBOR fallback events.

Auditable and Transparent

Accurate interest calculations require transparency. The Risk-Free Rate Calculator produces a granular daily audit grid, demonstrating exactly which published rate was observed, what day-count fraction was applied, and how the cumulative compound factor progressed day-by-day.

Rate histories are requested from the relevant official data service when a calculation is run. The calculator does not maintain a separate proprietary benchmark-rate database.