Function to Calculate value of a forward rate agreement.
fravalue()The value of a forward rate agreement.
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
John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.