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Bank of England Yield Curves

N

Nicholas.Campbell

Member
Hello,

Could somebody please explain the definition of the forward rates the BOE use? I can't find any documentation on their website to explain?

I assume they are annualised rates for 6-months time? But I cannot replicate any of the calculations, ie derive a forward rate from the spot rates and other forward rates, so I'm starting to doubt myself?

http://www.bankofengland.co.uk/statistics/pages/yieldcurve/default.aspx

Thanks!
 
Hi. Great question. It feels a bit more like CT8 than CA1 though!

The BoE provide details of the definitions here.

The bottom line is that you won't be able to move from the BoE published forward rates to the published spot rates. Notice that the forward rates are instantaneous ones, and so those rates of interest are only ever in force for an infinitesimally short period of time. This means that you won't have enough data to reconstruct the spot rates. If they were one-month forward rates then you'd able to do it.
 
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