Forward rates from forward curve

polo35uk · November 16th, 2007, 9:50 am

Hi, can anyone tell me how do I get forward rates from an instantaneous forward rate curve?Thanks a lot

Paolos · November 16th, 2007, 10:29 am

For a simply compounded forward rate F(0,T,S)where tau is the difference between S an T according to the day count conventionP.

polo35uk · November 16th, 2007, 10:45 am

thanks would you have a calculated example?I have my forward curve where my forward rates are constant for each bucket, I applied a quadratic interpolation to have a smooth curve.thanks

polo35uk · November 19th, 2007, 1:17 pm

from the previous function, can you confirm intervals from exp(T) to S ? how can it be possible? exp(T) would in a lot of cases be > to S !can you confirm the function?

Svetliy · November 21st, 2007, 3:40 pm

it is just the notation at the end of the day, look at F.