April 2015
Intermediate to advanced
340 pages
7h 21m
English
An investor who plans to invest at a later time might be curious to know what the future interest rate might look like, as implied by today's term structure of interest rates. For example, you might ask: What is the one-year spot rate one year from now? To answer this question, one can calculate forward rates for the period between
and
using this formula:

Here, and are the continuously compounded annual interest rates at time period ...
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