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Obtain Zero curve from forward curve
Posted: November 18th, 2007, 12:56 am
by boon22
How can I obtain Zero rates given only the forward rates?
Obtain Zero curve from forward curve
Posted: November 22nd, 2007, 9:08 am
by PointerLover
In general for bonds:(1 + zero_t1) ^ t1 * (1 + forward_t1t2) ^ (t2 - t1) = (1 + zero_t2) ^ t2Money is just the same but linear fashion.So you either need one zero rate to start with and then get the others via the forward - e.g. you have zero_1m and get zero_2m via the forward_1m2m etc.Alternatively if you do not have any zero at all you could use a triplet like forward_1m2m, forward_1m3m, forward_2m3m to solve for all three zero rates and then go on from this point.
Obtain Zero curve from forward curve
Posted: November 25th, 2007, 2:14 am
by boon22
First of all, thanks !What if I do not have the forward_1m2m, forward_1m3m, forward_2m3m,But have 1x7, 2x8, 3x9 etc?How can I obtain the zero curve given those rates?
Obtain Zero curve from forward curve
Posted: November 25th, 2007, 2:16 am
by boon22