forward-interest-rates
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P1.T3.22.31. Term structure theories
Learning objectives: Derive forward interest rates from a set of spot rates. Derive the value of the cash flows from a forward rate agreement (FRA). Calculate zero-coupon rates using the bootstrap method. Compare and contrast the major theories of the term structure of interest rates...- David Harper CFA FRM
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- bootstrap-method cash-flow-value forward-interest-rates forward-rate-agreement spot-rates term-structure zero-coupon-rates
- Replies: 2
- Forum: FRM® Practice Questions
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P
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
- Replies: 5
- Forum: P1.T3. Financial Markets & Products (30%)