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## Pricing of Forward Rate Agreements

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**Pricing of Forward Rate Agreements**Analytical finance ii Michael Aussieker, Oliver Grace**Step One**• Calculate the discount factors:**Step Two**• Calculate the Zero Coupon Rates:**The Nelson–Siegel–Svenssonmodel**where are parameters calculated via least squares or a solver such as the one found in Microsoft Excel.**Calculate Parameters**Used R language to calculate parameters below:**Step Three**• Calculate Zero Rate Curve for EUR 3M, EUR 6M, EUR OIS 3M, EUR OIS 6M with NSS • Find 3x6 etc Forward Rates from EUR 3M and 3x9 etc Rates from EUR 6M • Do same for EUR OIS 3M and EUR OIS 6M curves