Overnight Risk-Free Rate Calculator
Compute simple and compounded-in-arrears interest for SONIA, SOFR, and €STR. Inspect daily accruals, observation dates, and calculation assumptions before using the results.
Calculation Parameters
Data Integrity & Fallbacks
Rates are fetched live from official central bank sources (BoE, NY Fed, ECB) during calculation. If an observation has no rate, the engine searches the preceding 7 calendar days for a usable published rate. Carry-forwards are not counted as unresolved missing rates. Coverage days alone do not prove complete data. Review the Methodology Guide and limitations.
Awaiting Parameters
Configure your benchmark, period, and margin on the left. The calculator will fetch real-time published rates and generate a complete daily accrual schedule.
About the 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.
Understand the Calculation
Choose Simple In Arrears or Compounded In Arrears for a constant-principal period. The calculator applies the spread before compounding and floors the all-in rate. Contracts can specify different treatments, so this is a reference tool, not a guarantee of LMA or ISDA compliance.
- Lookback & Lockout: Calendar-day settings that change observation mapping, with business-day rollback. Check the mapped dates against your agreement.
- Observation Shift: Also shifts daily intervals and rolls their boundaries backwards; some day fractions can be zero or cover several days.
- Credit Adjustment Spread (CAS): A user-entered basis-point spread added alongside margin. The calculator does not determine the spread required by your agreement.
Auditable and Transparent
The Risk-Free Rate Calculator produces a daily audit grid showing the requested benchmark observation date, rate used, day-count fraction, and running compound factor. If a rate is carried forward, the date column remains the requested observation date rather than identifying the fallback source date. Inspect null rows and the documented limitations before treating a total as complete.
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.
Learn to Check Your Results
Use the practical guide, checked illustrative examples, and audit-column explanations to understand what the tool calculates and what it cannot establish.