How the fixed rate is built
Every quoted fixed rate is the sum of four components, computed fresh at quote time from the swap market'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 Tnotionalswap market utilisationPricingEngine.sol:56
spread_returnComponent
Early-liquidity premium — rewards the swap market for capital committed before it's used, dampened as the swap market 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 swap market approaches its utilisation ceiling U_max.
spread_util = k × U_post / (U_max − U_post)^beta
post-trade utilisationU_maxk, betaPricing.sol:99