FORWARD Function

Changes and Enhancements

calculates a column vector of forward rates given vectors of spot rates and times

FORWARD( times,spot_rates)

The FORWARD function returns an n ×1 vector of forward rates.

times: is an n ×1 column vector of times in consistent units. Elements should be non-negative.
spot_rates: is an n ×1 column vector of corresponding per-period spot rates. Elements should be positive.

The FORWARD function transforms the given spot rates as

f₁=s₁

$f_i=( \frac{(1+s_i)^{t_i}}{(1+s_{i-1})^{t_{i-1}}} )^{\frac{1}{t_i-t_{i-1}}} - 1; i=2, ... ,n$

For example, the following statements

   spt={0.75};   
   times={1};   
   forward=forward(times,spt);  
   print forward;

produce the following output:

   FORWARD
   0.75