1. 

   Edwin Member

   I really am doing something wrong, I don't seem to get the same forward rates, I used the relationship e^(-r1t1)*e^(-f1(t2-t2)) = e^(-r2t2)?
   
   This gives me f1 = -ln(0.92/0.96) = 0.04255961442 not 0.04167?

    

   Edwin, Apr 6, 2013

   #1
2. 

   Edwin Member

   Sorted, defining f0,1 did help and annual compounding.

    

   Last edited by a moderator: Apr 17, 2013

   Edwin, Apr 15, 2013

   #2

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