Wait until calculator button appears. Sometimes You Need To Press Refresh

A forward rate agreement (FRA) is a contract where the parties agree that an interest rate (contract rate)
will apply to a certain notional principal during a specified future period of time.
An FRA is generally settled in cash at the beginning of the forward period.
This calculator uses simple interest and 30/360 daycount convention.

The price of an FRA can be derived from an arbitrage condition.
At origination, a FRA is priced at the corresponding implied forward rate from today's yield curve.
For example, a "6 X 12" FRA is priced at today's implied six-month forward, six-month interest rate (6R12);
this rate can be calculated using the six-month (0R6) and one-year (0R12) interest rates by solving the following equation.

(1 + 0R6 * .5) * (1 + 6R12 * .5) = (1 + 0R12 *1)

The price of FRAs with different maturities can be calculated by setting up similar equations.
For example, the price of a "3 X 6" FRA can be derived if 0R3 and 0R6 are known,
a "3 X 12" can be priced if 0R3 and 0R12 are know etc.

To value an existing FRA one needs:

  1. Notional principal P
  2. Contract rate C
  3. Forward period t1 to t2
  4. Spot or zero coupon interest rates with maturities t1 and t2 (denoted 0R1 and 0R2, respectively).

Pricing Models Page Available is a Swing Java Jar File if you just wish to run the models.

Black-Scholes  Black  Garman  Merton  Whaley  Binomial  Average Asian  Asset  Binary  Barrier  Compound  LookBack  Rainbow  Quanto  Volatility Indicator  Implied Volatility  Historic Volatility  Forward Rate Agreement  FX Forward  Monte Carlo  Bonds  Convertible Bonds