GenFRA() function

GenFRA(argument list…)

This function calculated fair forward rates using the general zero curve object (different interpolations and curve types). It can handle an ARRAY of start dates and end dates for the forward rate period, and this can speed up computation considerably. When arrays are used for the start and end dates, the function must be entered as an array formula (see Excel online help). The function uses the following arguments:

 Argument Description Restrictions Valuation_Date valuation date (e.g. today) valid Excel date number Start_Date_Array start date of FRA (can be an array of dates) valid Excel date number >= Valuation_Date End_Date_Array end date of FRA (can be an array of dates) - array must be same size as Start_Date_Array > corresponding date in Start_Date_Array DCB day count basis 0 = 30/360 1 = act/360 2 = act/365 (fixed) 360 = act/360 365 = act/365 (fixed) Curve_Type defines how the Zero_Rates array is to be interpreted 0 = continuously compounded riskless rates in, decimal form 1 = discount factors (first must be 1.0, and must be declining) Interpolation the interpolation method to employ for the Zero_Rates array 0 = cubic-spline 1 = linear 2 = log-linear Zero_Dates array of zero coupon curve dates strictly ascending order The first date of this array must be Valuation_Date Zero_Rates an array of zero rates or discount factors corresponding to Zero_Dates

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