Forward Rate Agreement – FRA

Last updated 9 November 2026

Function reference › Interest Rate Derivatives › Forward Rate Agreement

3 GIAnalyzer functions for Excel. Optional arguments are shown in [brackets].

GIA_IRD_FRA_Price

Returns the fixed rate for which the value of an FRA is zero.

GIA_IRD_FRA_Price(EfDate, TDate, DaysPayoff, DR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, Comp, Days, Interp)

Returns: Fixed rate for which the value of an FRA is zero

Argument	Use	Description
`EfDate`	Required	The effective date.
`TDate`	Required	The termination date (the end date of the accrual period in FRA).
`DaysPayoff`	Required	The time basis in the cash flow calculation (act/360, act/365, act/act, 30E/360, 30I/360)
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`DCurveDates`	Required	The array of dates in the interest rate curve used for discounting cash flows.
`DCurveRates`	Required	The array of rates in the interest rate curve used for discounting cash flows.
`FCurveDates`	Required	The array of dates in the interest rate curve used for calculating forward interest rates.
`FCurveRates`	Required	The array of rates in the interest rate curve used for calculating forward interest rates.
`VDate`	Required	The value date.
`SDate`	Required	The spot date.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)

GIA_IRD_FRA_Risk

Returns the DV01 of an FRA.

GIA_IRD_FRA_Risk(Position, Notional, EfDate, TDate, Rate, DaysPayoff, DR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, Comp, Days, Interp)

Returns: DV01 of an FRA

Argument	Use	Description
`Position`	Required	The position in the FRA (PayFixed, ReceiveFixed)
`Notional`	Required	The notional amount.
`EfDate`	Required	The effective date.
`TDate`	Required	The termination date (the end date of the accrual period in FRA).
`Rate`	Required	The fixed rate.
`DaysPayoff`	Required	The time basis in the cash flow calculation (act/360, act/365, act/act, 30E/360, 30I/360)
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`DCurveDates`	Required	The array of dates in the interest rate curve used for discounting cash flows.
`DCurveRates`	Required	The array of rates in the interest rate curve used for discounting cash flows.
`FCurveDates`	Required	The array of dates in the interest rate curve used for calculating forward interest rates.
`FCurveRates`	Required	The array of rates in the interest rate curve used for calculating forward interest rates.
`VDate`	Required	The value date.
`SDate`	Required	The spot date.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)

GIA_IRD_FRA_Value

Returns the value of an FRA.

GIA_IRD_FRA_Value(Position, Notional, EfDate, TDate, Rate, DaysPayoff, DR, DCurveDates, DCurveRates, FCurveDates, FCurveRates, VDate, SDate, Comp, Days, Interp)

Returns: Value of an FRA

Argument	Use	Description
`Position`	Required	The position in the FRA (PayFixed, ReceiveFixed)
`Notional`	Required	The notional amount.
`EfDate`	Required	The effective date.
`TDate`	Required	The termination date (the end date of the accrual period in FRA).
`Rate`	Required	The fixed rate.
`DaysPayoff`	Required	The time basis in the cash flow calculation (act/360, act/365, act/act, 30E/360, 30I/360)
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`DCurveDates`	Required	The array of dates in the interest rate curve used for discounting cash flows.
`DCurveRates`	Required	The array of rates in the interest rate curve used for discounting cash flows.
`FCurveDates`	Required	The array of dates in the interest rate curve used for calculating forward interest rates.
`FCurveRates`	Required	The array of rates in the interest rate curve used for calculating forward interest rates.
`VDate`	Required	The value date.
`SDate`	Required	The spot date.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)