Actual / 360 (Money Market)
Actual / 365 (Standard)
Actual / Actual
Total Effective Rate:0.00%
Daily Accrual Factor:0.0000
Period Coupon Payment:0.00
function calculateFloatingRate() {
// Retrieve inputs
var parValue = parseFloat(document.getElementById('frn_par_value').value);
var benchmark = parseFloat(document.getElementById('frn_benchmark').value);
var spread = parseFloat(document.getElementById('frn_spread').value);
var days = parseFloat(document.getElementById('frn_days').value);
var basis = parseFloat(document.getElementById('frn_day_basis').value);
// Validation
if (isNaN(parValue) || isNaN(benchmark) || isNaN(spread) || isNaN(days) || isNaN(basis)) {
alert("Please fill in all fields with valid numbers.");
return;
}
// Logic
// 1. Calculate Total Coupon Rate (Annualized)
var totalRatePercent = benchmark + spread;
// 2. Calculate Coupon Payment for the specific period
// Formula: Par Value * (Total Rate / 100) * (Days / Basis)
var timeFactor = days / basis;
var paymentAmount = parValue * (totalRatePercent / 100) * timeFactor;
// 3. Daily Accrual (Per 1 unit of currency per day approx, or just amount per day)
var dailyPayment = paymentAmount / days;
// Display Results
document.getElementById('res_total_rate').innerText = totalRatePercent.toFixed(4) + "%";
document.getElementById('res_daily_factor').innerText = timeFactor.toFixed(6);
document.getElementById('res_payment').innerText = paymentAmount.toLocaleString(undefined, {minimumFractionDigits: 2, maximumFractionDigits: 2});
// Show result div
document.getElementById('frn_results_area').style.display = 'block';
}
Understanding Floating Rate Notes (FRNs)
A Floating Rate Note (FRN) is a debt instrument with a variable interest rate that adjusts periodically. Unlike fixed-rate bonds, where the coupon payment remains constant throughout the life of the bond, the coupon on an FRN fluctuates based on a reference benchmark index.
Key Concept: The "Floating Rate" is composed of two parts: the variable Benchmark Index and the fixed Spread (or Margin).
How the Calculation Works
The calculation for a floating rate coupon payment follows specific financial logic. It determines exactly how much yield an investor receives for a specific accrual period. The formula is:
Coupon Payment = Face Value × (Reference Index + Quoted Spread) × (Days in Period / Day Count Basis)
Face Value (Par): The nominal value of the bond or note.
Reference Index: The underlying variable rate (e.g., SOFR, LIBOR, Euribor, or a Treasury Bill rate). This value changes daily or monthly.
Quoted Spread: A fixed percentage added to the benchmark to compensate for credit risk. This usually remains constant.
Day Count Basis: The convention used to calculate the portion of the year (e.g., Actual/360 is common in money markets).
Why Use a Floating Rate Calculator?
Investors and financial analysts use this tool to project cash flows for the upcoming period. Since the Reference Index changes, the payment amount for the next quarter or month is never guaranteed until the rate resets.
Example Calculation
Imagine you hold a corporate note with a Face Value of 100,000. The note pays a rate of SOFR + 1.50%.
Current SOFR: 4.80%
Spread: 1.50%
Total Rate: 6.30%
Period: 90 days (Quarterly)
Basis: 360 days
The calculation would be: 100,000 × 0.063 × (90 / 360) = 1,575.00.
This calculator allows you to instantly determine the reset payment whenever the benchmark rate changes.