This notice is being investigated to obtain as spot and forward interest rates on bond prices and to each other. After the spot and forward rates definition, shows indication of how to estimate the spot rate data on a zero-coupon bonds or bonds. It also shows how to bring these published rates for different compounding assumptions. The note will pay special attention to understanding how arbitrage in markets, the links between forward and spot prices and how to close a set of rates from the oth … Read more »

This notice is being investigated to obtain as spot and forward interest rates on bond prices and to each other. After the spot and forward rates definition, shows indication of how to estimate the spot rate data on a zero-coupon bonds or bonds. It also shows how to bring these published rates for different compounding assumptions. The note is the links between forward and spot prices and how to derive special attention to understanding how to arbitrage markets a range of prices from the other. The note deepened understanding of the bond pricing, assuming that the reader is already familiar with the basics of present value techniques. It is a useful springboard for topics (eg swaps), which require familiarity with spot and forward rates.
This is a Darden case study.
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from
Robert S. Harris,
Robert M. Conroy
Source: Darden School of Business
12 pages.
Release date: 05 February, 2007. Prod #: UV0847-PDF-ENG
Spot and forward interest rates HBR case solution

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