compounding
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How to derive forward interest rates from spot rates (Hull vs Tuckman)
Hi! I'm confused about forward interest rate calculation, Hull (ch 4) uses RF=(R2T2-R1T1)/(T2-T1), Tuckman (ch 2) instead computes from formula (1+r(0,2)/2)^4=(1+r(0,1.5)/2)^3+(1+f(1.5,2.0)/2)^1. I'm sure the answer is just here but I can't see... Is it about compounding? Should I memorize both...- Plirts
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- compounding compounding-frequencies forward-interest-rates semi-annual-compounding spot-rates tuckman
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- Forum: P1.T3. Financial Markets & Products (30%)