# Questions tagged [forward-rate]

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### What's the difference between instantaneous forward rates and observable forward rates?

Source: http://docs.fincad.com/support/developerFunc/mathref/LIBORMarketModel.htm "In contrast to models that evolve the instantaneous short rate (Hull-White, Black-Karasinski models) or ...
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### What's the difference between the short rate model projection and the 3M forward curve?

A term structure has a forward curve So what is it that the short rate model is projecting exactly? Why is it needed? How are they different?
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### How to calculate one-year forward one-year rate? [closed]

I'm just a little lost on how to calculate forward rates. I know this is an easy question, but, if we are given a one-year and two-year zero rate (let's say, for the sake of the argument, 2% and 3% ...
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### Spot-Forward Relationship - Proof

Does anyone know of a decent proof for the spot-forward relationship of a currency? I've been looking on Google for hours and I'm not getting anywhere. My lecture notes are useless in that they don't ...
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### option on bond future - any caplet representation out there ?

I'm trying to play with bond-future options. Bond future is a future contract on a basket of bonds. The short-side will deliver the so-called bond cheapest-to-deliver (CTD). A bond-future option is ...
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### Calculating Discount Margin on a floating rate bond using QuantLib

Going off Luigi's hint on this answer: Setting up Schedule for an amortizing floater in QuantLib I was able to cobble something together but I'm unable to verify if it's correct. TLDR: I was able to ...
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### Transform a 3M FRA Rate to a 6M FRA Rate

I have a question whether it is possible to transform 3M FRA rates to 6M FRA rates without having any spreads available. Let's give an example: FRA 3M: FRA 1x4 FRA 2x5 FRA 3x6 FRA 4x7 FRA 5x8 FRA ...
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### Convexity adjustment when payment if after interest natural term?

I've been working with a convexity adjustment for an interest rate payoff and the next question came to me: The usual problem that gives rise to the convexity adjustment I'm referring to is as ...
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### Fixing date, start date, end date in interest rate derivative valuation?

I was reading a technical report by Hagan, which can be downloaded here on the valuation of accrual swaps and range notes. It caught my attention that in the valuation he comments this: Consider ...
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### forward space vs zero space in finance jargon

Would anyone know what does it mean to value an asset in "forward space" versus "zero space" ? where does one start from when trying to dig into the meaning of this? Thanks in advance.