By Month
Subtype of Input MethodThe FRA rates are specified by supplying the respective expiries, underlying lengths and rates through a Set object consisting of 3 or 4 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 #Maturity and contain the maturities of the underlying interest rates, expressed in number of months from Market Quote Date.
The numbers here must be greater than those in the first column.
The third 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.
Here the FRA contracts are allowed to have different underlying lengths, but they will still share the same conventions, which must be explicitly supplied.
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.