Forward Rate Calculation
To extract the forward rate, one needs the zero-coupon yield curve. The general formula used to calculate the forward rate is:
is the forward rate between term and term ,
is the time length between time 0 and term (in years),
is the time length between time 0 and term (in years),
is the zero-coupon yield for the time period ,
is the zero-coupon yield for the time period ,
Read more about this topic: Forward Rate
Famous quotes containing the words rate and/or calculation:
“Unless a group of workers know their work is under surveillance, that they are being rated as fairly as human beings, with the fallibility that goes with human judgment, can rate them, and that at least an attempt is made to measure their worth to an organization in relative terms, they are likely to sink back on length of service as the sole reason for retention and promotion.”
—Mary Barnett Gilson (1877–?)
““To my thinking” boomed the Professor, begging the question as usual, “the greatest triumph of the human mind was the calculation of Neptune from the observed vagaries of the orbit of Uranus.”
“And yours,” said the P.B.”
—Samuel Beckett (1906–1989)