FRA
FRA is a direct subtype of Swap
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TYPE INCLUSION RELATIONSHIPS
AVAILABLE FUNCTIONS
AVAILABLE CREATE FUNCTION KEYS
TYPICAL OBJECTS OF TYPE FRA
This type represents an agreement to enter into a loan (deposit) at some specific future time over a certain time period and under an agreed fixed interest rate
In reality, the counterparties do not wait until the end of the loan (deposit) period in order to exchange the accrued funds.
The discounted proceeds are paid out immediately at the begining of the forward period, resulting in a net cash flow given by the form:
(I-K)Δt/(1+IΔt)
where I is the index' realized value at the begining of the forward period, K is the strike and Δt is the length of the forward accrual period.
The cash flow denomination currency in both legs is assumed to be that of the index entered in Index
If strike/forward rate is desired, it can be obtained via the function Fwd Rate. In this case, the strike variable in the constructor is irrelevant and will be ignored.
The following labels may be assigned to the key Output of the Price function in order for the latter to return the respective quantities.
List of valid values:
Fwd Rate
Refers to the output of QuantLib's forwardRate function.
Refers to the related forward rate.
Price
The output is a number that represents the price - also known as NPV (Net Present Value) - of the referenced tradable as of the trade date
Note the applicable trade date equals the global trade date, except if overridden by the optional entry As Of
The cash flows occurring on the trade date are included only if Trade Date CFs is set to TRUE
Settle Date
Refers to the output of QuantLib's settlementDate function.
Refers to the date the fra contract comes into life and any related repo rate starts accruing.
Spot Value
Refers to the output of QuantLib's spotValue function.
NPV of underlying loan (deposit). Always positive.