Overview

Functions to construct and use ForwardRateAgreement objects.

Function List

qlFRA ()
qlFRAforwardRate ()
qlFRAforwardValue ()
qlFRAspotValue ()

Function Documentation

qlFRA

string returnValue
 
qlFRA(
        string ObjectId
        long ValueDate
        long MaturityDate
        string Position
        double Strike
        double Notional
        string IborIndex
        string YieldCurve
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class ForwardRateAgreement and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
ValueDate	Value date.
MaturityDate	Maturity date.
Position	Instrument position (Long = purchase, Short = sale).
Strike	Strike rate.
Notional	Notional amount.
IborIndex	Underlying index object ID.
YieldCurve	discounting YieldTermStructure object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlFRAforwardRate

double returnValue
 
qlFRAforwardRate(
        string ObjectId
        any Trigger)

Description:

Returns the relevant forward rate associated with the FRA term.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::ForwardRateAgreement object
Trigger	dependency tracking trigger

qlFRAforwardValue

double returnValue
 
qlFRAforwardValue(
        string ObjectId
        any Trigger)

Description:

Returns the forward value of the FRA.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::ForwardRateAgreement object
Trigger	dependency tracking trigger

qlFRAspotValue

double returnValue
 
qlFRAspotValue(
        string ObjectId
        any Trigger)

Description:

Returns the spot value of the FRA.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::ForwardRateAgreement object
Trigger	dependency tracking trigger