impl_fwr {termstrc}R Documentation

Implied Forward Rate Calculation

Description

Calculates the implied forward rates from given spot rates.

Usage

impl_fwr(m, s)

Arguments

m maturity vector.
s spot rate vector.

Details

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.

Value

The function returns the calculated forward rate vector.


[Package termstrc version 1.1 Index]