The Excel Derivatives Periscope



FRA is a child type of Swap that 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:
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
FRA::Forward Rate. In this case, the strike variable in the constructor is irrelevant and will be ignored.

The following
functions are also available within FRA:
FRA Functions

The following quantities may be also calculated and reported along the price.
Forward Rate
Refers to the output of QuantLib's forwardRate function.
Refers to the related forward rate.
The output is a number that represents the price of the referenced tradable.
Settlement 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.