WebCab Bonds for COM v2.01

ForwardRates.SettlementWithExplicitTime Method 

Evaluates the cash settlement (or equivalently, the present value of the cash flows) of a forward rate agreement at the point when the interest period starts (which is generally when the FRA will be settled in cash).

public double SettlementWithExplicitTime(
   double principalSum,
   double agreedRate,
   double firstMaturity,
   double secondMaturity,
   double forwardRate
);

Parameters

principalSum
agreedRate
The rate of interest payment (in decimal format, i.e. 1% = 0.01) agreed within the period `firstMaturity' and `secondMaturity'. Note that this interest rate is expressed with respect to the compounding period `(firstMaturity - secondMaturity)'.
firstMaturity
The time in years (in decimal format) at which the FRA begins.
secondMaturity
The time in years (in decimal format) at which the FRA expires.
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)'.

See Also

ForwardRates Class | WebCab.COM.Finance.Bonds Namespace