Language Reference |
FORWARD Function |
The FORWARD function computes a column vector of (per-period) forward rates, given vectors of spot rates and times. The arguments to the function are as follows:
is an column vector of times in consistent units. Elements should be nonnegative.
is an column vector of corresponding (per-period) spot rates. Elements should be positive.
The FORWARD function transforms the given spot rates as
For example, the following statements compute forward rates:
time = T(do(1, 5, 1)); spot = T(do(0.05, 0.09, 0.01)); forward = forward(time, spot); print forward;
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