Calculates the value of the forward rate agreement (FRA) for a holder which pays an interest rate `agreedRate' within the period between `firstMaturity' and `secondMaturity' on a principle sum `principle'.
The rate of interest payment (in decimal format, i.e. 1 percent = 0.01) agreed within the period `firstMaturity' and `secondMaturity'. Note that this interest rate is expressed with respect to the compounding period `(firstMaturity - secondMaturity)'.
evaluationDate
The date when the FRA is evaluated.
firstMaturityDate
The date when the FRA begins.
secondMaturityDate
The date when the FRA ends.
forwardRate
The forward rate for the period between `firstMaturity' and `secondMaturity'. Note that this interest rate is expressed with respect to the compounding period `(firstMaturity - secondMaturity)'.
zeroRate
The continuously compounded zero-coupon interest rate for the maturity `secondMaturity'.
businessCalendarName
The name of one of the implemented business calendars, "London" by default.
Remarks
Remarks
The value of the contract to the party who receives the principle
sum and pays interest is just the negation of the value calculated here.
The interest rate paid by the contract and the forward interest rate
are usually set to be equal when the FRA is initiated.
Care should be taken that the various interest rates are expressed with
respect to the correct compounded period. In particular, the forward rate and
the agreed rate must be expressed with respect to the period `(firstMaturity -
secondMaturity)'. Whereas the discounting zero-coupon interest rate is expressed
as a continuously compounded rate.