fravalue: Calculate the value of a forward rate agreement.
In GUIDE: GUI for DErivatives in R

Description Usage Details Value Author(s) References See Also

Function to Calculate value of a forward rate agreement.

1	fravalue()

The user inputs are as follows:
Notional: enter notional value of FRA. e.g. 1 mn is entered as 1000000
Fixed Rate: enter in decimals. For e.g. 5 Fwd Rate: enter in decimals. For e.g. 8 Months1: number of months for the loan period to begin- enter 3 for 3 months
Months2: number of months for the loan period to end- enter 6 for 6 months

The value of a forward rate agreement.

S Subramanian <ssubramanian@sssihl.edu.in>

John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.

fra

GUIDE documentation built on May 2, 2019, 9:32 a.m.