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FRA - Man Page

Example of using QuantLib




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.


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).

07 Jul 2006 QuantLib