FRA (1) Linux Manual Page
FRA – Example of using QuantLib
Synopsis
FRADescription
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), ConvertibleBonds(1), DiscreteHedging(1), EquityOption(1), Replication(1), Repo(1), SwapValuation(1), the QuantLib documentation and website at http://quantlib.org.Authors
The QuantLib Group (see Authors.txt).This manual page was added by Dirk Eddelbuettel <edd [at] debian.org>, the Debian GNU/Linux maintainer for QuantLib.