impl_fwr {termstrc} | R Documentation |
Calculates the implied forward rates from given spot rates.
impl_fwr(m, s)
m |
maturity vector. |
s |
spot rate vector. |
Implied forward rates can be calculated using the following relationship:
f(t',T) = frac{s(m_T)m_T - s(m_{t'})m_{t'}}{m_T-m_{t'}},
whereas s(m_T), s(m_{t'}) is the spot rate for a maturity m_T,m_{t'} respectively.
The function returns the calculated forward rate vector.