NPV_FRA() function |

**NPV_FRA() function**

**NPV_FRA(argument list…)**

This function returns the market-to-market (i.e. Net Present Value or NPV) of a FRA from the perspective of the fixed payer. 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 orderThe 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 |

Contract_Rate |
FRA contract rate in decimal form | > 0 |

Reset_Rate |
settlement rate used to determine payoff if Start_Date < Valuation_Date | > 0 |

Notional |
notional principal underlying | positive number for fixed rate payer, negative number for floating rate payer |

If Start_Date < Valuation, the FRA is seasoned and the NPV is computed as the present value of the cash flow difference between the Contract_Rate and the Reset_Rate payments. If Start_Date >= Valuation_Date, the FRA is defined over a future time period and the Reset_Rate argument is ignored. In this case, the NPV is computed as the present value of the cash flow differential between the Contract_Rate and an internally generated forward rate payments.

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