Yield_Curve__FRA_Input

Available

The FRA rates are specified by supplying a common index, as well as the respective expiries and rates through a Set object consisting of 2 columns.

The first column must bear the title

The second column must bear the title

All FRA contracts will then share the same length and conventions, which must be explicitly supplied though an additional Ibor Rate object.

Linear interpolation and flat extrapolation is assumed for those maturities that do not appear in the Set

The FRA rates are specified by supplying the respective expiries, underlying lengths and rates through a Set object consisting of 3 columns.

The first column must bear the title

The second column must bear the title

The numbers here must be greater than those in the first column.

The third column must bear the title

Here the FRA contracts are allowed to have different underlying lengths, but they will still share the same conventions, which must be explicitly supplied.

Linear interpolation and flat extrapolation is assumed for those maturities that do not appear in the Set