Derivatives ↗
DERIVATIVES · CALCULATOR SUITE

Derivatives Calculators

A practical calculation laboratory for pricing, rates, P&L, option Greeks, swaps, forwards, margin and hedging. Every calculator starts with an illustrative sample so a learner or professional can see what each input field is asking for.

PricingRates & SwapsRisk & GreeksHedging & MarginCommodity Suite ↗Control Matrix ↗Methodology & Validation ↗
Accounting & regulatory boundary: IFRS 13 fair value requires market-participant assumptions and appropriate valuation inputs; IFRS 9 governs recognition, measurement and hedge accounting; IFRS 7 governs related risk disclosures. Basel/BCBS and jurisdictional rules separately govern counterparty credit risk and margin. These calculators are not accounting entries, fair-value certifications, hedge-accounting tests, SA-CCR/EAD calculations or regulatory margin models.
Important: These are educational and analytical calculators. They use simplified assumptions and do not constitute investment, legal, accounting or regulatory advice. Production valuation may require market curves, discounting conventions, volatility surfaces, collateral terms, netting sets, clearing rules, model validation and transaction-specific documentation. Do not treat an indicative result as an executable market quote or regulatory determination.
01 · PRICING & P&L

Futures, forwards and options

Futures P&L

Illustrative profit/loss from price movement. Enter contract size and number of contracts.

Sample: Long 2 contracts × 1,000 units; entry 100; exit 105.

FX Forward Rate

Indicative FX forward under a simple money-market covered-interest-parity convention. It is not a universal pricing convention.

Interest rates may be positive, zero or negative. Use a minus sign for negative rates.
Sample inputs are updated to reflect the values used in the latest calculation.

European Option — Black-Scholes

Indicative European call/put value plus Delta, Gamma, Vega and Theta. Assumes continuous rates/dividend yield and lognormal dynamics.

Sample inputs and option type are updated to reflect the latest calculation. S, K, volatility and maturity must be > 0.

Option Payoff / Breakeven

Shows expiration payoff and the basic breakeven level for a long option.

Sample: Long Call, K=100, premium=5, expiry price=112, multiplier=100.
02 · RATES & SWAPS

Interest-rate calculations

Interest-Rate Swap Payment

Illustrative fixed and floating payment for one calculation period.

Sample: Notional 10,000,000; fixed 5%; floating 4.5%; quarter-year period.

FRA Settlement

Indicative FRA settlement at the start of the accrual period using a simple money-market convention and discounting by 1 + reference rate × accrual.

Sample: Notional 10m; FRA 5%; reference 5.5%; accrual 0.25.

DV01 / PVBP

Simple linear duration approximation of DV01/PVBP for a 1 basis-point rate move; reported DV01 is a positive magnitude.

Sample: PV 10m; modified duration 4.5; 1 bp move.

Indicative Swap Fixed Rate

Par fixed rate using a set of discount factors: fixed rate ≈ (1−DFn) / sum(DFᵢ×accrualᵢ). Enter comma-separated discount factors and equal accrual periods.

Sample discount factors: 0.987, 0.973, 0.958, 0.943; quarterly accrual. Final discount factor is taken from the last listed factor.
03 · RISK, GREEKS & EXPOSURE

Risk sensitivities

Option Position Greeks

Uses Black-Scholes to scale Delta, Gamma, Vega and Theta by contracts and multiplier, with selectable call/put type, dividend yield and long/short direction.

Sample: ATM option; 20% vol; 90 days (Actual/365); 10 contracts × 100 multiplier.

Forward / Futures Basis

Measures the difference between the observed futures/forward price and spot price.

Sample: Spot 100; forward 102; 90 days.
04 · HEDGING & MARGIN

Exposure, hedge and capital planning

Minimum-Variance Hedge Ratio

Indicative hedge ratio from correlation and volatility of exposure and hedge instrument.

Sample: correlation 0.85; exposure vol 12%; hedge vol 10%; exposure 10m. Correlation must be −1 to +1; volatility and exposure must be > 0.

Indicative Margin

Simple scenario-based margin estimate. This is not a CCP margin model such as SPAN/CORE or an approved regulatory IM model.

Sample: exposure 10m; indicative margin rate 8%; collateral 300k; haircut 5%.

Option Strategy Breakeven

Basic expiration breakeven for a single long call or put using premium paid.

Sample: K=100; premium=6; Long Call → breakeven 106.

Collateral Interest

Simple collateral interest accrual using principal, rate, day count and days. Market documentation determines the actual convention.

Sample: collateral 5m; rate 4%; 30 days; 360-day basis.
05 · COVERAGE & CONTROL

What this suite covers

Financial reporting relevance: Outputs may inform analysis but do not determine IFRS fair value, hedge-accounting eligibility/effectiveness, journal entries or disclosures. IFRS 9 hedge accounting requires a qualifying hedging relationship and documented risk-management objective; IFRS 7 requires risk and hedge disclosures.

The suite intentionally focuses on core calculation families commonly encountered in derivatives pricing, risk and collateral workflows. Professional platforms may additionally use yield-curve bootstrapping, OIS discounting, multi-curve valuation, volatility surfaces, local/stochastic volatility, Monte Carlo, CVA/DVA/FVA, XVA, expected exposure, PFE, stress testing, portfolio margining and product-specific clearing models. Those require materially more market data and model governance than a public educational calculator.

Model-governance principle: A calculator output is only as reliable as its inputs, conventions, model assumptions, market data and validation. For institutional use, retain calculation inputs, source data, model version, assumptions, approvals and evidence.