FRA
FRA
instrument object
Description
Create and price a FRA
(forward rate agreement) instrument
object for one or more FRA instruments using this workflow:
Use
fininstrument
to create aFRA
instrument object for one or more FRA instruments.Use
ratecurve
to specify an interest-rate model for theFRA
instrument object.Use
finpricer
to specify aDiscount
pricing method for one or moreFRA
instruments.
For more information on this workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
For more information on the available models and pricing methods for a
FRA
instrument, see Choose Instruments, Models, and Pricers.
Creation
Syntax
Description
creates a FRAObj
= fininstrument(InstrumentType
,'StartDate
',start_date,'Maturity
',maturity_date,'Rate
',rate_value)FRA
object for one or more FRA instruments by
specifying InstrumentType
and sets the properties for the required
name-value pair arguments StartDate
,
Maturity
, and Rate
. For more
information on a FRA
instrument, see More About.
sets optional properties using additional
name-value pairs in addition to the required arguments in the previous
syntax. For example, FRAObj
= fininstrument(___,Name,Value
)FRAObj =
fininstrument("FRA",'StartDate',datetime(2016,1,30),'Maturity',datetime(2019,1,30),'Rate',0.025,'Principal',100,'Basis',1,'BusinessDayConvention',"follow",'Name',"FRA_instrument")
creates a FRA
instrument with a principal of 100 and a
maturity of January 30, 2019. You can specify multiple name-value pair
arguments.
Input Arguments
Name-Value Arguments
Output Arguments
Properties
Object Functions
cashflows | Compute cash flow for FixedBond , FloatBond ,
Swap , FRA , STIRFuture ,
OISFuture , OvernightIndexedSwap , or
Deposit instrument |