Language Reference

FORWARD (times, spot_rates) ;

This function is supported by the IML procedure and the iml action.

The FORWARD function computes a column vector of (per-period) forward rates, given vectors of spot rates and times. The arguments to the function are as follows:

The FORWARD function transforms the given spot rates as

For example, the following statements compute forward rates:

time = T(do(1, 5, 1));
spot = T(do(0.05, 0.09, 0.01));
forward = forward(time, spot);
print forward;