Direct answer
Rollover (sometimes shown as “swap” or “roll”) for pair spreads is calculated from the interest-rate difference between the two currencies in the pair, then adjusted for the trading contract’s specific conventions. In practice, the amount you see for a position depends on which currency is long/short, the effective rollover date and time window, and any provider-specific markup or deductions.
Because providers can present rollover in different formats (per day, per instrument, or as an adjustment to quoted points), the most reliable way to explain the result is to separate the stable mechanics (interest-rate difference and timing) from variable factors (provider adjustments and quote conventions).
Mechanism: definition and inputs
Pair spreads here means the pair-level price relationship you trade (e.g., a quoted spread/price difference between buy and sell), while rollover calculation refers to the interest adjustment applied when a position is held across the provider’s rollover cutoff.
A common conceptual model is:
- Identify the two currencies in the pair (Currency A and Currency B).
- Determine which side your position is long (you hold exposure to one currency) and which side you are short (you owe exposure to the other).
- Use each currency’s reference interest rate (a proxy such as an interbank benchmark) and compute the interest-rate differential between Currency A and Currency B.
- Apply an amount proportional to your position size and the rollover time period.
Assumptions you must state for any calculation
To independently verify a rollover computation, you need the assumptions the platform uses, such as:
- Direction: whether you are effectively receiving interest or paying interest depends on whether you are long one currency and short the other.
- Time convention: rollover is usually applied per day, but the effective period can change for weekends/holidays.
- Notional and base/quote handling: the calculation may be expressed using the quote currency, account currency, or instrument units.
- Day count: some systems use a specific day-count method when converting annual rates to a per-day amount.
How provider adjustments and triple-swap conventions affect “pair spread” rollover
Even if the interest-rate differential is the stable core, what you observe can be altered by two broad categories of variability.
1) Provider adjustments
Providers may add or subtract costs and operational components to the raw interest-rate model. That can change:
- the magnitude of rollover you see,
- the sign (in some edge cases, direction and markup can interact with how the platform reports values),
- the units (e.g., displayed as a number of points versus a money amount).
Because these adjustments are contract- and provider-specific, you should treat them as an extra term on top of the interest differential rather than as part of the universal interest mechanism.
2) Triple-swap (effective multi-day rollover)
Many platforms apply an altered rollover amount when the position crosses a period that spans additional non-business days. Conceptually, that means the system may treat one rollover event as covering multiple days.
So even with the same underlying interest-rate differential, the amount applied can be larger on those days because the effective time period is longer (for example, an event that covers three days instead of one). This is a timing convention, not a change in the interest differential itself.
Evidence or example (with explicit assumptions)
Below is a calculation example expressed as a template, because the numeric inputs (rates, day-count, notional conversion, provider adjustments) must come from your platform’s documentation or statements.
Assume:
- You hold a position in a currency pair where Currency A interest rate is higher than Currency B.
- Your position direction corresponds to being long Currency A and short Currency B.
- The provider uses a simple per-day conversion and applies rollover once per day.
Then the daily interest differential component can be expressed conceptually as:
- Differential = (rate_A − rate_B)
- Daily accrual ≈ Differential × (day fraction for one day)
- Rollover money amount = Notional exposure × daily accrual, then converted into your display currency
- Final displayed rollover = rollover money amount + (provider adjustment term)
If a “triple-swap” day occurs and the effective period is 3 days, then the time factor becomes 3×, so the interest component scales accordingly, again followed by any provider adjustment.