Calculate a legacy LIBOR all-in rate and day-count interest from user-entered contract terms, or compare it with a SOFR replacement and fallback adjustment after LIBOR cessation.

Historical contract inputs only; all LIBOR settings have ceased. Legacy modes use a 0% benchmark floor by default. Comparison is unfloored. This is fixed-rate simple accrual, not daily compounded SOFR or a contract fallback determination.

Optional settings

LIBOR/SOFR Accrual and Related Formulas

The calculator uses entered historical rates for all-in pricing, simple day-count interest and an unfloored SOFR replacement comparison. Rates in the formulas below are decimals; widget rates are percentages. It does not reproduce LIBOR fixing or calculate daily compounded SOFR.

rₐll - in = max(rbenchmark, rfloor) + spreadbps / 10,000 t = actual days / basis, basis = 360 or 365 Iₛimple = P × rₐll - in × t rᵣeplacement = rSOFR + adjustmentbps / 10,000 + replacementₛpreadbps / 10,000 Differencebps = (rᵣeplacement − rₗegacy) × 10,000

Variables:

  • P is the principal (dollars)
  • rquoted is the quoted benchmark rate as a decimal (e.g., 5% = 0.05)
  • spreadbps is the contract spread in basis points (1 bp = 0.01 percentage point)
  • rall-in is the all-in rate as a decimal (floored benchmark plus spread)
  • Days is the entered actual number of accrual days
  • Base is 360 for ACT/360 or 365 for ACT/365 (day-count denominator)
  • t is the year fraction (decimal)
  • m is a compounding frequency used only in other models; no compounding frequency is selected here
  • I is interest accrued (dollars)
  • DF is the discount factor (simple money-market convention)
  • f is the (simple) forward rate between t1 and t2
  • spread (in the conversion line) is a user-entered contract spread; no ISDA tenor adjustment or fallback provision is selected automatically

For legacy accrued interest, apply the benchmark floor (default 0%), add spread/100 to the percent rate, then calculate principal × all-in percent/100 × days/basis. The comparison mode is explicitly unfloored and uses one constant period rate on both sides.

What is a LIBOR Rate?

LIBOR (the London Interbank Offered Rate) was a set of benchmark interest rates intended to reflect the unsecured wholesale funding costs of large banks for specific currencies and tenors. It was produced from panel bank submissions and published by ICE Benchmark Administration (IBA). Panel USD LIBOR ceased after June 30, 2023. Following the final synthetic USD publication on September 30, 2024, all 35 LIBOR settings permanently ceased. In new contracts, LIBOR has largely been replaced by near risk-free reference rates such as SOFR (for USD).

How to Calculate Using a LIBOR or SOFR Rate?

The following steps outline how to calculate interest using a quoted LIBOR (or SOFR-based) rate and an added spread:

  1. Enter the quoted rate (in %) and any added spread (in bps).
  2. For interest or comparison, enter principal, currency, actual accrual days and the contract’s ACT/360 or ACT/365 denominator.
  3. Select Calculate to compute fixed-rate simple interest. Actual daily SOFR compounding, lookbacks and lockouts require contract-specific calculations outside this tool.
  4. Use comparison mode to enter the replacement rate, fallback adjustment and replacement contract spread. No universal LIBOR-to-SOFR conversion or current quote is supplied.

Example Problem:

Use the following values as an example to test your knowledge (simple interest, ACT/360):

Quoted Rate = 5.00%

Added Spread = 20 bps (0.20 percentage point). With the default 0% floor, the all-in annual rate is 5.20%; for a $1,000,000 principal over 90 actual days on ACT/360, simple interest is $13,000.