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oGetFwdRate( ) Function

Component

Resolution - Utility

 

 

Function Definition

oGetFwdRate(ValueDate, PeriodStart, PeriodEnd, DaysBasis, Rates, InterpMethod)

Calculates a forward rate from a zero curve

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

ValueDate

 

The value date

 

Date

 

PeriodStart

 

The start of the rate period

 

Date

 

PeriodEnd

 

The end of the rate period

 

Date

 

DaysBasis

 

The day count convention

 

Enumerated Constant

 

1 - Act/Act (actual)
2 - Act/Act (bond)
3 - Act/360
4 - Act/365
5 - Act/365 ISDA
6 - Act/365 JGB(NL)
7 - 30/360 ISDA
8 - 30/360 PSA
9 - 30E/360
10 - 30E+/360
11 - Act/365L

Rates

 

The rate curve or zero curve

 

Curve

 

InterpMethod

 

Interpolate rates or discount factors?

 

Enumerated Constant

 

1 - Discount Factors
2 - Zero Rates

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