# Tag Info

### What does instantaneous forward mean?

1. Observable instruments, spot rates, and forward rates First remember that something observable means that you can observe/find the rate in the market by looking at traded rate instruments or ...
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### What does instantaneous forward mean?

Given a forward rate, for example: $F(t, T, T+\delta)$ The instantaneous forward rate $f(t,T)$ fixed in $t$ is the limit when $\delta \rightarrow 0$ of your forward rate. If the relation between ...
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### Calculating instantaneous forward rate from zero-coupon yield curve

Your overall approach is correct. However to my knowledge it is formally more appealing to work with a parameterized and smoothed yield curve. Basically one assumes that the yield curve can be ...
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### Why are multiple custom curves (swap) built for one desk?

Chapter 1: Goldilocks is ousted by the bears Once upon a time, the banks used a fixing called LIBOR as a measure of the risk-free interest rate. Then the big hairy crisis came along and ate all our ...
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### FX Forward rate agreement valuation in quantlib

You are not giving the constructor a discountCurve. The constructor is: ...
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### U.S. Rate Hike Prediction

The CME' Fed Fund Futures are what you are looking for. http://www.cmegroup.com/trading/interest-rates/stir/30-day-federal-fund.html On settlement day they settle at the average overnight rate set ...
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### Formula for the forward rates?

The price of the zero-coupon bond is the discount factor for this maturity. In the world of exponential compounding formulas are of the form $\exp(\sum \cdots)$. With a replication argument if we want ...
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