SPOT Function

Language Reference

calculates a column vector of spot rates given vectors of forward rates and times

${ {SPOT}(times,forward\_rates) }$

The SPOT function returns an n x 1 vector of spot rates.

times: is an n x 1 column vector of times
in consistent units. Elements should be non-negative.
forward_rates: is an n x 1 column vector of corresponding
per-period forward rates. Elements should be positive.

The SPOT function transforms the given spot rates as:

s₁=f₁

$s_i = \Pi_{j=1}^{j=i}(1+f_j)^{{t_j}-{t_{j-1}}} -1.0; i=2,...n$

Example proc iml;
fwd=.05;
times=1;
spot=spot(times,fwd);
print spot;
quit;

SPOT
0.05