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FRA_zr() function

FRA_zr(argument list…)

This function returns the Forward Rate Agreement (FRA) rate between Start_Date and End_Date implied by a zero coupon yield curve. The function uses the following arguments:

Argument Description Restrictions
Valuation_Date valuation date (e.g. today) valid Excel date number
Start_Date start of FRA rate period valid Excel date number
>= Valuation_Date
End_Date end of FRA rate period valid Excel date number
> Start_Date
DCB day count basis 0 = 30/360
2 = act/360
3 = act/365
Zero_Dates array of zero coupon curve dates strictly ascending order
The first date of this array must be Valuation_Date
Zero_Rates array of continuously compounded riskless rates in decimal form (e.g. six percent entered as 0.06) corresponding to Zero_Dates > 0
Interp_Method method used to interpolate rates from the zero coupon yield curve 0 = cubic spline
1 = log-linear
2 = linear

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