By Index
Subtype of Input MethodThe FRA rates are specified by supplying a common index, as well as the respective expiries and rates through a Set object consisting of 2 or 3 columns.
The first column must bear the title #Expiry and contain the expiries of the FRA contracts, expressed in number of months from Market Quote Date.
The second column must bear the title #Rate and contain the respective FRA rates.
The remaining column must bear the title #Pillar and should be present only if the entry in Pillar Choice equals Custom Date, in which case it supplies the custom dates meant to be used as curve pillars during the curve building out of the forward rates here.
All FRA contracts will then share the same length and conventions, which must be explicitly supplied though an additional Ibor Rate object.
Note that the curve-implied forward rates for maturities not appearing in the left column are determined by the Modelled Qty and Interp Method inputs.
In particular, a flat rate structure in this table does not necessarily imply the same flat rates for other maturities.