Previous Topic

Next Topic

oFRA( ) Function

Component

Resolution - IRO Pricing

 

 

Function Definition

oFRA(SettlementDate, MaturityDate, ContractRate, RiskfreeRate, AccrualBasis)

Calculates the fair value of a Forward Rate Agreement

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

SettlementDate

 

The date upon which settlement occurs

 

Date

 

MaturityDate

 

The date upon which the contract expires

 

Date

 

ContractRate

 

The contract forward rate

 

Double

 

RiskfreeRate

 

The riskless rate

 

Double

 

AccrualBasis

 

The interest accrual basis

 

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

Return to www.derivativepricing.com website

Copyright 2013 Hedgebook Ltd.