16
Summary of pricing formulae
Forward rate agreements (FRAs)
NOTATION
| i | annual interest rate |
| n | number of payments per year |
| days | number of days in the investment/coupon period |
| year | number of days in a year |
| N | number of years or coupon periods |
| P | price |
| APR | annual percentage rate, effective rate or equivalent annual rate |
| PV | present value |
| FV | future value |
| DF | discount factor |
TIME VALUE OF MONEY
Effective and nominal rates
Relationship between the interest rate i with n payments per year and the APR:
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