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you have the following assumptions and spot rates - solve for the implied forward rates t 0 t 1 t 2 t 3 One-year rate
you have the following assumptions and spot rates - solve for the implied forward rates | ||||
t0 | t1 | t2 | t3 | |
One-year rate | 1.330% | ??? | ??? | ??? |
Two-year rate | 1.590% | ??? | ??? | |
Three-year rate | 1.810% | |||
Four-year rate | 2.030% |
Implied forward 1 year rate t+1f1 X | at time t+1 (in one year) | |||
Implied forward 1 year rate t+2f1 x | at time t+2 (in two years) | |||
Implied forward 2 year rate t+1f2 x | at time t+1 (in one year) | |||
Implied forward 1 year rate t+3f1 x | at time t+3 (in three years) | |||
Implied forward 2 year rate t+2f2 x | at time t+2 (in two years) |
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