Can someone please help with the pricing of the following forward rate agreement using QuantLib Python?
A 3x6 forward rate agreement, with a notional of $100,000, the FRA rate being 6%, The FRA settlement date is after 3 months (90 days) and the settlement is based on a 90-day USDLIBOR.
My valuation date is 30 June 2020.
This is my attempt:
import QuantLib as ql startDate = ql.Date(30, 6, 2020) ql.Settings.instance().evaluationDate = startDate spotDates = [ql.Date(30, 6, 2020), ql.Date(31, 12, 2020), ql.Date(30, 6, 2021)] spotRates = [0.05, 0.05, 0.05] dayConvention = ql.Thirty360() calendar = ql.UnitedStates() maturityDate = calendar.advance(startDate, ql.Period('3M')) compounding = ql.Simple compoundingFrequency = ql.Annual spotCurve = ql.ZeroCurve(spotDates, spotRates, dayConvention, calendar, ql.Linear(), compounding, compoundingFrequency) spotCurve.enableExtrapolation() spotCurveHandle = ql.YieldTermStructureHandle(spotCurve) index = ql.USDLibor(ql.Period('3M'), spotCurveHandle) index.addFixing(ql.Date(26, 6, 2020), 0.05) notional = 100000 rate = 0.06 fra = ql.ForwardRateAgreement(startDate, maturityDate, ql.Position.Long, rate, notional, index, spotCurveHandle) print('NPV:', fra.NPV())
And this is the answer that I get:
The answer that I'm getting is not correct.