FORWARD(
times, spot_rates )
;
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;
Figure 23.109
Forward Rates
0.05 |
0.0700952 |
0.0902839 |
0.1105642 |
0.1309345 |
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