FRA
instrument object
Create and price a FRA
(forward rate agreement) instrument
object using this workflow:
Use fininstrument
to create a FRA
instrument object.
Use ratecurve
to specify
an interest-rate model for the FRA
instrument.
Use finpricer
to
specify a Discount
pricing
method for the FRA
instrument.
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.
creates a FRAObj
= fininstrument(InstrumentType
,'StartDate
',start_date,'Maturity
',maturity_date,'Rate
',rate_value)FRA
object 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.
cashflows | Computes cash flow for FixedBond , FloatBond ,
Swap , FRA , or Deposit
instrument |