FORWARD Function

Language Reference

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

${ {FORWARD}(times,spot\_rates) }$

The FORWARD function returns an n x 1 vector of forward rates.

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

The FORWARD function transforms the given spot rates as:

f₁=s₁

f_i = [[((1+s_i)^t_i)/((1+s_i-1)^t_i-1)]]^{[(t_i)/(t_i-1)]} -1.0; i = 2,...n

Example proc iml;
spt=.75;
times=1;
forward=forward(times,spt);
print forward;
quit;

FORWARD
0.75