fravalue {GUIDE} | R Documentation |
Calculate the value of a forward rate agreement.
Description
Function to Calculate value of a forward rate agreement.
Usage
fravalue()
Details
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
Value
The value of a forward rate agreement.
Author(s)
S Subramanian <ssubramanian@sssihl.edu.in>
References
John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.
See Also
[Package GUIDE version 1.2.7 Index]