SPOT(
times, forward_rates )
;
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;
Figure 23.219
Spot Rates
0.05 |
0.0549882 |
0.0599686 |
0.0649413 |
0.0699065 |
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