spot 1= 1.50%
spot 2= 1.91%
spot 3= 2.24%
spot 4= 2.52%
spot 5= 2.77%
spot 6= 3.00%
Hello, given the above spot rates, I get:
I use the formula:
F(x,y)= [[((1+spot y)^(x+y))/((1 + spot x)^x)]-1]/y
1 plus the longer spot to the power of the longer time, divided by 1 + shorter spot to the power of the shorter time, minus 1, and then divided by the difference between times.
Is this correct?
What do others get for the above rates?
And has anyone ever used this formula? I know I used to use this for FRM. Is it different? Or it it just an approximation?
F(t, T)= [(R2)(T)-(R1)(T)]/(T-t)