FORWARD Function

Language Reference

calculates forward rates

FORWARD( times, spot-rates)

The inputs to the FORWARD function are as follows:

times: is an n-dimensional column vector of times in consistent units.
spot-rates: is an n-dimensional column vector of corresponding per-period spot rates.

The FORWARD function returns an n-dimensional column vector. It transforms the given spot rates as

$f_1 & = & s_1 \ f_i & = & [ \frac{(1+s_i)^t_i}{(1+s_{i-1})^t_{i-1}} ]^{\frac{t_i}{t_{i-1}}} - 1.0 ; { for } i = 2, ... ,n$