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The Time Value of Money
S/F/170. Institutional Asset Allocation: construction of spot rate and forward rate curve
- WORDS:
- 3500
- DATE:
- 2008
- PRICE:
- 39.99 GBP
The paper examines the construction of spot rate and forward rate curve, using a set of yield to maturity values provided. An attempt is made to derive a function to describe the spot rate movement, in order to achieve a best fit for the spot rate curve. It is examined whether the forward rate is an unbiased estimator of future spot rate.
KEYWORDS: Lender, borrower, money, spot rate, forward rate curve,
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