| FRA_zr() function | |
FRA_zr() functionFRA_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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