forward-rates

Forward rates link two zero (aka, spot) rates by ensuring your expected return is the same between two choices: (1) invest at the longer-term spot rate versus (2) invest at the shorter-term spot rate and "roll over" into the implied forward rate. This is an implied forward rate that ignores...

Hi David, I have a basic doubt with regard to the way forward rates are denoted. In various spreadsheets, when you write for example - the value 2% under Time column 1.0. Does that mean the six month forward rate that matures in one year is 2% ? As in, is it the six month rate from time period...

Learning objectives: Interpret the forward rate, and compute forward rates given spot rates. Define par rate and describe the equation for the par rate of a bond. Interpret the relationship between spot, forward, and par rates. Questions: 903.1. Assume the following discount function (note...

Learning objectives: Explain the mechanics of a plain vanilla interest rate swap and compute its cash flows ... Calculate the value of a plain vanilla interest rate swap based on two simultaneous bond positions. Calculate the value of a plain vanilla interest rate swap from a sequence of forward...

Learning objectives: Calculate the theoretical price of a bond using spot rates. Derive forward interest rates from a set of spot rates. Derive the value of the cash flows from a forward rate agreement (FRA). Questions: 713.1. Consider the steep spot (aka, zero) rate curve illustrated below...

I am so sorry to bother you but I really need help. Note: I am new to bonds, interest rates, forward rates .. etc. In many examples ( for instance in Hull's book) I see something like this: TTM Coupon Price 0.25 0 97.5 0.50 0 94.9 1.00 0...