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:

times

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

spot_rates

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;