09-02-2006
Thank you. That works. Of course that's the simple part. My actual data is far more complicated than my example but at least I can move forward now.
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FRA(1) General Commands Manual FRA(1)
NAME
FRA - Example of using QuantLib
SYNOPSIS
FRA
DESCRIPTION
FRA is an example of using the QuantLib interest-rate model framework.
FRA values a forward-rate agreement (FRA) at different forward dates under two yield curve assumptions. It thereby illustrates how set up a
term structure, and to use it to price a simple forward-rate agreement.
SEE ALSO
The source code FRA.cpp, BermudanSwaption(1), Bonds(1), CallableBonds(1), CDS(1), ConvertibleBonds(1), DiscreteHedging(1), EquityOption(1),
FittedBondCurve(1), MarketModels(1), Replication(1), Repo(1), SwapValuation(1), the QuantLib documentation and website at
http://quantlib.org.
AUTHORS
The QuantLib Group (see Authors.txt).
This manual page was added by Dirk Eddelbuettel <edd@debian.org>, the Debian GNU/Linux maintainer for QuantLib.
QuantLib 07 Jul 2006 FRA(1)