CALCULATOR


FRA Settlement Value

The value of an FRA can be calculated using the calculator provided. Several conditions have to be met:

  • The FRA should not be longer than a year. In other words the 'Maturity Date' should not exceed one calendar date year from 'Start Date'.
  • 'Start Date' should be on or after 'Value Date'. Although, the calculator still produce a value,in such a case, it is the value on 'Start Date', instead of 'Value Date'.
  • 'Settlement Amount' is from perspective of a forward lender. When the 'FRA Rate' is higher than the 'Forward Rate', 'Settlement Amount' will be positive indicating that the forward lender is will receive the settlement amount if the value date is the settlement date of the FRA. If the value date is prior the settelement date, the amount is a positive mark-to-market that will hit the P/L
  • Field Descriptions
    Value Date

    Valuation date of the FRA.

    Start Date

    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.

    Maturity Date

    The maturity date of the theoretical brrowing/lending.

    FRA Rate (%)

    The agreed rate at which the FRA is contracted.

    Forward Rate (%)

    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.

    Stub Rate (%)

    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.

    Convention

    The day count convention for the FRA. 'Actual/Actual' convention is not supported, despite being made available in the dropdown.

    Settlement Amount

    Value of the FRA



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