Total Return Swap

An agreement where one party exchanges the performance of a reference index with another party for benchmark-based financing payments.

Trade Setup

Economics

Notional amount

Collateral

Spread0.75%

bps

Market Data

Reference index

Benchmark

Timeline

Trade Date

Valuation Date

Asset leg, floating interest, and net benefit on the same axis.

Ready for a backtest

Calculate once to populate the chart, summary metrics, and daily table.