impl_fwr: Implied Forward Rate Calculation
In changshun/termstrc: Zero-coupon Yield Curve Estimation

Calculates the implied forward rates from given spot rates.

1	impl_fwr(m, s)

`m`	maturity vector.
`s`	spot rate vector.

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.

The function returns the calculated forward rate vector.

1 2	s <- spr_ns(c(0.03,0.02,0.01,5),1:30) impl_fwr(s,m=1:30)

changshun/termstrc documentation built on May 13, 2019, 3:24 p.m.

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