FRA_df() function  Previous topicNext topicFirst topicLast topic

FRA_df() function

FRA_df(argument list…)

This function returns the Forward Rate Agreement (FRA) rate between Start_Date and End_Date implied by a zero coupon discount factor curve. A discount factor is defined as the present value of $1 paid at a future date. The discount factor curve starts at a value of $1 today, and diminishes over time. 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
Disc_Dates array of discount factor curve dates strictly ascending order
The first date of this array must be Valuation_Date. The last element mu
st be >= End_Date.
Disc_Factor array of discount factors corresponding to Disc_Dates <= 1.0
The first element of this array must be 1.0.
Interp_Method method used to interpolate rates from the discount factor curve 0 = cubic spline
1 = log-linear
2 = linear

© 1995-98 Leap of Faith Research Inc.