Swap calculation

This article describes the calculation of swaps with different types, configured in Netting settings.

Defining the base quote amount

To calculate the cost of a swap, depending on its type, the following indicators are used as the base amount:

• Close by AVP: Close quote amount = Trade amount x Average position price;
• Open by AVP: Open quote amount = Trade amount x Average position price;
• Close by market - the quote amount is calculated based on the current market price: Close quote amount = Trade amount x Swap close rate (can be set manually or generated from the current market price in the Swap close rates tab);
• Close by EOD: Close quote amount = Trade amount x EOD Rate;
• Open by AVP with EOD Rates: Open quote amount = Trade amount x EOD Rate.

Note: The close quote amount is calculated using the instrument’s Last price - recent saved tick for the swappable instrument. Prices are saved every 5 seconds. If no price is found in the system, the markup is ignored.

Conversion of interest rates and markups into absolute values

• For absolute values: the rate or markup equals the configured value.
• For points: the configured markup is multiplied by the instrument's MPI.
• For pips: the configured markup is multiplied by the instrument's Pip size.
• For percent:
  • Swap rate = Interest rate in percent / Days in Year (of the base asset) / 100
  • Markup = Markup in percent / Days in Year (of the base asset) / 100
    The resulting value is rounded to four decimal places, using half-up rounding.

Data for calculations

MPI, Pip size, and Days in year can be found in the Instruments section.

Interest rate (separately for long and short positions) is configured in the Interest Rates section.

Markup is set in the Swap settings tab within the account’s Tariff settings.

Calculation of swap and markup amounts

For swaps/markup expressed in Percent:

• Swap amount = Base quote amount * Swap rate in absolute values
• Markup amount = Base quote amount * Markup in absolute values

For swaps/markup expressed in Points, Pips, or Absolute values:

• Swap amount = Amount * Swap rate in absolute values
• Markup amount = Amount * Markup in absolute values

Data for calculations

• Instrument Amount, Open quote amount and Close quote amount are displayed in the Swaps tab in the Daily operations section.

Swap Cost Calculation

Swap cost = (Swap Amount + Markup Amount) * Number of Swap Days
The displayed Swap cost is rounded to two decimal places.

If the sum of the swap rate and markup set is positive, then:

• the swap cost for a long position is marked with a minus sign
• the swap cost for a short position is marked with a plus sign.

If the sum of the swap rate and markup set is negative, then:

• the swap cost for a long position is marked with a plus sign
• the swap cost for a short position is marked with a minus sign.