Yield Curve – Forward Rates from Spot Rates

File Name: Yield Curve – Forward Rates from Spot Rates

Location: Modeling Toolkit | Yield Curve | Forward Rates from Spot Rates

Brief Description: Determines the implied forward rate given two spot rates

Requirements: Modeling Toolkit, Risk Simulator

Modeling Toolkit Function Used: MTForwardRate

Given two spot rates (from Year 0 to some future time periods), you can determine the implied forward rate between these two time periods using this bootstrap model. For instance, if the spot rate from Year 0 to Year 1 is 8%, and the spot rate from Year 0 to Year 2 is 7% (both yields are known currently), the implied forward rate from Year 1 to Year 2 (that will occur based on current expectations) is 6%. See Figure 166.1.

Figure 166.1: Forward rate extrapolation

DETAILED LIST OF ALL TOPICS

DESCRIPTIVE STATISTICS
- MEASURING THE CENTER OF THE DISTRIBUTION–THE FIRST MOMENT
- MEASURING THE SPREAD OF THE DISTRIBUTION–THE SECOND MOMENT
- MEASURING THE SKEW OF THE DISTRIBUTION–THE THIRD MOMENT
- MEASURING THE CATASTROPHIC TAIL EVENTS IN A DISTRIBUTION–THE FOURTH MOMENT
- THE BASICS OF INTERPRETING PDF, CDF (S-CURVE), ICDF CHARTS
BAYES’ THEOREM
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DISCRETE DISTRIBUTIONS
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GETTING STARTED WITH ROV BIZSTATS
QUANTITATIVE STATISTICAL METHODS AND DATA SCIENCE
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ARTIFICIAL INTELLIGENCE MACHINE LEARNING METHODS
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- AI MACHINE LEARNING: BAGGING NONLINEAR FIT BOOTSTRAP (SUPERVISED)
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RISK SIMULATOR: OPTIMIZATION (THE SEARCH FOR THE OPTIMAL DECISION)
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PROJECT ECONOMICS EVALUATION AND PORTFOLIO SELECTION WITH PEAT
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REAL OPTIONS SLS APPLICATIONS
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TECHNICAL NOTES
- TECHNICAL NOTE 1: THE BASICS OF INTERPRETING PDF, CDF, AND ICDF
- TECHNICAL NOTE 2: CONVOLUTION AND COPULAS—THEORY VERSUS PRACTICE
- TECHNICAL NOTE 3: CONVOLUTION OF MULTIPLICATION OF FREQUENCY AND SEVERITY DISTRIBUTIONS IN OPERATIONAL RISK CAPITAL MODEL IN BASEL III/IV
- TECHNICAL NOTE 4: PARETO CHARTS AND SENSITIVITY CHARTS
- TECHNICAL NOTE 5: DISTRIBUTION CHARTS AND TABLES USING THE PROBABILITY DISTRIBUTION TOOL
- TECHNICAL NOTE 6: PERCENTILE DISTRIBUTIONAL FITTING TOOL
- TECHNICAL NOTE 7: DYNAMIC PROJECT MANAGEMENT WITH COST AND SCHEDULE RISK
VISUAL GUIDES, SUMMARIES, TABLES, MODELS LIST, AND USEFUL ADDENDA
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