World Bank Treasury
This swap calculator has been developed by the World Bank’s Treasury staff as a flexible
multicurrency swap pricing tool. The calculator has been designed taking into account
the specific needs of IBRD borrowers. It enables IBRD borrowers to calculate indicative
pricing for interestrate and currency conversions of disbursed fixedspread loans (FSLs)
as well as freestanding interestrate and currency swaps offered in conjunction with
Currently, interest rate swaps, crosscurrency swaps and basis swaps in three major
currencies USD, JPY and EURO can be priced using this tool. The swap calculator
is sufficiently flexible to accommodate plain vanilla, amortizing, accreting and roller
This manual provides stepbystep details of how to use the swap calculator. If you have
any questions regarding the calculator, please contact the World Bank staff at the
numbers provided on the last page of this manual.
System and Software Requirements
Operating System : Windows 3.1 or higher
Minimum Hardware : 486 PCs or higher
Minimum Memory : 16 MB
Software : Excel 5.0 or higher
The calculator is an Excelbased program which users can download from the following
At this web site, select the Swap Calculator button to go to the Swap Calculator Page.
Then click on Swap Calculator Excel Program. The following screen should appear:
Click the Save File button to save the file to your local drive.
The calculator consists of two separate worksheets: Input Area and Output Area.
In the Input Area sheet, users need to enter the following information:
• Currency and interest rate basis of their existing loan
• Currency and interest rate basis that is desired
• Principal Amount to be converted/swapped
• Maturity date of the conversion/swap