NAME¶
FRA - 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),
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@debian.org>, the
Debian GNU/Linux maintainer for
QuantLib.
