Use same forward calculation in FRAs as in SwapLegs
@@ -71,11 +71,12 @@ public class ForwardRateAgreement extends AbstractAnalyticProduct implements Ana
throw new IllegalArgumentException("No forward curve with name '" + forwardCurveName + "' was found in the model:\n" + model.toString());
double fixingDate = schedule.getFixing(0);
+ double paymentDate = schedule.getPayment(0);
double periodLength = schedule.getPeriodLength(0);
double forward = 0.0;
if(forwardCurve != null) {
- forward = forwardCurve.getForward(model,fixingDate);
+ forward += forwardCurve.getForward(model, fixingDate, paymentDate-fixingDate);
}
// Valuation of the market FRA for payer and receiver direction, neglecting convexity adjustment
