The value of an FRA can be calculated using the calculator provided. Several conditions have to be met:
Valuation date of the FRA.
In FRA term, this will we the expiry date of the FRA. For our purpose, it is referred to as start date to indicate that it is the starting date for the calculation of interest as if it is a standard borrowing/lending.
The maturity date of the theoretical brrowing/lending.
The agreed rate at which the FRA is contracted.
The current market rate for the froward period (from start date to maturity date). This will have to be manually calculated by user and input into the calculator.
The current market rate for the period from value date to start date. This will have to be manually calculated by user and input into the calculator.
The day count convention for the FRA. 'Actual/Actual' convention is not supported, despite being made available in the dropdown.
Value of the FRA