GenFRA() function

GenFRA() function

GenFRA(argument list…)

This function calculated fair forward rates using the general zero curve object (different interpolations and curve types). It can handle an ARRAY of start dates and end dates for the forward rate period, and this can speed up computation considerably. When arrays are used for the start and end dates, the function must be entered as an array formula (see Excel online help). The function uses the following arguments:

Argument	Description	Restrictions
Valuation_Date	valuation date (e.g. today)	valid Excel date number
Start_Date_Array	start date of FRA (can be an array of dates)	valid Excel date number >= Valuation_Date
End_Date_Array	end date of FRA (can be an array of dates) - array must be same size as Start_Date_Array	> corresponding date in Start_Date_Array
DCB	day count basis	0 = 30/360 1 = act/360 2 = act/365 (fixed) 360 = act/360 365 = act/365 (fixed)
Curve_Type	defines how the Zero_Rates array is to be interpreted	0 = continuously compounded riskless rates in, decimal form 1 = discount factors (first must be 1.0, and must be declining)
Interpolation	the interpolation method to employ for the Zero_Rates array	0 = cubic-spline 1 = linear 2 = log-linear
Zero_Dates	array of zero coupon curve dates	strictly ascending order The first date of this array must be Valuation_Date
Zero_Rates	an array of zero rates or discount factors corresponding to Zero_Dates