Search results

HI David, Thanks for the feedback. let me give you the values suppose I have the values of (0x1) 0.001, (1x2) 0.003, (2x3) 0.004 and (3x4) 0.005 and the settlement dates are Feb 21, 2013, March 21,2013, April 19,2013 and May 20,2013. In that case If i want to derive the spot rate of 0x3 and then...

Dear David, I have a question on what happens when you are dealing with money market curves rather than a medium or long term curve? Suppose we are considering a 12 months term in total and we have the rates for 1x2, 2x3, 3x4 (annualized rate act/360)and now how do we calculate for the spot rates?