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Yield_Curve__FRA_Input

FRA Input refers to List of possible ways of entering the FRA contracts.
Available FRA Input types:
By Index
The FRA rates are specified by supplying a common index, as well as the respective expiries and rates through a
Set object consisting of 2 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.
All FRA contracts will then share the same length and conventions, which must be explicitly supplied though an additional
Ibor Rate object.
Linear interpolation and flat extrapolation is assumed for those maturities that do not appear in the Set
By Month
The FRA rates are specified by supplying the respective expiries, underlying lengths and rates through a
Set object consisting of 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 #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.
Here the FRA contracts are allowed to have different underlying lengths, but they will still share the same conventions, which must be explicitly supplied.
Linear interpolation and flat extrapolation is assumed for those maturities that do not appear in the Set