Functions to construct and use ForwardRateAgreement objects.

The first step is to load the QuantLib package.

Needs["QuantLib`"]

Within the ForwardRateAgreement part there are several constructors and member functions available

In[794]:=

Select[Category[ForwardRateAgreement],QLConstructor[#]&]

Out[794]=

In[795]:=

Select[Category[ForwardRateAgreement],QLMember[#]&]

Out[795]=

Constructors

FRA

In[804]:=

In[803]:=

obj=FRA[ValueDate,MaturityDate,Position,Strike,Notional,IborIndex,YieldCurve]

Member function

FRAforwardRate

FRAforwardRate[obj]

FRAforwardValue

FRAforwardValue[obj]

FRAspotValue

FRAspotValue[obj]

Created with Wolfram Mathematica 7.0