FRA - Man Page
Example of using QuantLib
Synopsis
FRA
Description
FRA is an example of using the QuantLib interest-rate model framework.
FRA values a forward-rate agreement (FRA) at different forward dates under two yield curve assumptions. It thereby illustrates how set up a term structure, and to use it to price a simple forward-rate agreement.
See Also
The source code FRA.cpp, BermudanSwaption(1), Bonds(1), CallableBonds(1), CDS(1), ConvertibleBonds(1), DiscreteHedging(1), EquityOption(1), FittedBondCurve(1), MarketModels(1), MulticurveBootstrapping(1), Replication(1), Repo(1), the QuantLib documentation and website at https://www.quantlib.org.
Authors
The QuantLib Group (see Contributors.txt).
This manual page was added by Dirk Eddelbuettel <edd@debian.org>, the Debian GNU/Linux maintainer for QuantLib.
Referenced By
BasketLosses(1), BermudanSwaption(1), Bonds(1), CallableBonds(1), CDS(1), ConvertibleBonds(1), CVAIRS(1), DiscreteHedging(1), EquityOption(1), FittedBondCurve(1), Gaussian1dModels(1), GlobalOptimizer(1), LatentModel(1), MarketModels(1), MulticurveBootstrapping(1), MultidimIntegral(1), Replication(1), Repo(1).