Equity Swaps: Payment Calculations

Equity Swaps: Payment Calculations

Intuition Publishing Pty Ltd
Updated Sep 24, 2020

Here we discuss the methods used to calculate both legs of an equity swap. We define the formula used to calculate the equity return leg, and the formula used to calculate the interest rate leg. We outline the importance of stating whether the notional amount is constant or variable in the calculations, and use an example and animation to highlight the difference in the cash flows.