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interestraterisk_p1.pdfVIP

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  • 2017-08-15 发布于山西
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interestraterisk_p1.pdf

    interestraterisk_p1

    Interest Rate Risk 1 Zero Rates A zero rate (or spot rate), for maturity T is the rate of interest earned on an investment that provides a payoff only at time T Forward Rates The forward rate is the future zero rate implied by today’s term structure of interest rates Formula for Forward Rates (Equation 4.5 , page 84) Suppose that the zero rates for time periods T1 and T2 are R1 and R2 with both rates continuously compounded. The forward rate for the period betwe

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