The SPOT function returns an vector of (per-period) spot rates, given vectors of forward rates and times. The function takes the following arguments:

times

is an column vector of times in consistent units. Elements should be nonnegative.

forward_rates

is an column vector of corresponding (per-period) forward rates. Elements should be positive.

The SPOT function transforms the given spot rates as

where, by convention, .

For example, the following statements produce the output shown in Figure 23.219:

time = T(do(1, 5, 1));
forward = T(do(0.05, 0.09, 0.01));
spot = spot(time, forward);
print spot;