FRA_df() function

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 must 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