Forward_Rate() function

Forward_Rate() function

Forward_Rate(argument list…)

This function returns the forward rate between Start_Date and End_Date implied by a zero coupon yield curve. Linear interpolation of the rate curve is used. 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