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Pricing
How the fixed rate is builtForward rate & volatility
Risk & positions
Risk (PV01 / DV01)Mark-to-market & early exitCashflows & accruals
Pool & market
Pool mechanicsTerm curve & volatility bandMarket-wide stats
Reference
Fees, formatting & conversionsGlossary of parameters

How the fixed rate is built

Every quoted fixed rate is the sum of four components, computed fresh at quote time from the pool's live state. No component is negotiable or discretionary — the same inputs always produce the same rate.

Fixed rateHeadline number

The rate a customer locks in for the life of the swap.

r_fixed = F(T) + spread_return + spread_risk + spread_util
forward ratetenor Tnotionalpool utilisationPricingEngine.sol:56
spread_returnComponent

Early-liquidity premium — rewards the pool for capital committed before it's deployed, dampened as the pool fills.

spread_return = spreadReturnScale × (R_target × C / N_total)
R_targetdeposited capital Ctotal notionalPricing.sol:38
spread_riskComponent

Tenor risk premium — rises with longer maturities, fades to zero as a swap nears settlement.

spread_risk = σ × (min(T_stress, T) / T_ref) × sqrt(T / T_ref)
volatility σtenor TT_ref, T_stressPricing.sol:59
spread_utilComponent

Utilisation charge — climbs sharply as the pool approaches its utilisation ceiling U_max.

spread_util = k × U_post / (U_max − U_post)^beta
post-trade utilisationU_maxk, betaPricing.sol:99