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Forward rate information


The forward rate is the future yield on a bond. It is calculated using the yield curve. For example, the yield on a three-month Treasury bill six months from now is a forward rate.[1]

  1. ^ Fabozzi, Vamsi.K (2012), The Handbook of Fixed Income Securities (Seventh ed.), New York: kvrv, p. 148, ISBN 978-0-07-144099-8.

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Forward rate

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from now is a forward rate. To extract the forward rate, we need the zero-coupon yield curve. We are trying to find the future interest rate r 1 , 2 {\displaystyle...

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Forward exchange rate

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The forward exchange rate (also referred to as forward rate or forward price) is the exchange rate at which a bank agrees to exchange one currency for...

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Forward rate agreement

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a forward rate agreement (FRA) is an interest rate derivative (IRD). In particular it is a linear IRD with strong associations with interest rate swaps...

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Interest rate swap

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one of the most liquid, benchmark products. It has associations with forward rate agreements (FRAs), and with zero coupon swaps (ZCSs). In its December...

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Forward price

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The forward price (or sometimes forward rate) is the agreed upon price of an asset in a forward contract. Using the rational pricing assumption, for a...

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Forward contract

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themselves are exchanged. Forwards, like other derivative securities, can be used to hedge risk (typically currency or exchange rate risk), as a means of speculation...

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Exchange rate

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GMT Friday). The spot exchange rate is the current exchange rate, while the forward exchange rate is an exchange rate that is quoted and traded today...

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Interest rate parity

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(unanticipated changes in exchange rates) is uninhibited, whereas covered interest rate parity refers to the condition in which a forward contract has been used to...

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Forward curve

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price at time zero). The forward curve represents a term structure of prices. A forward interest rate is a type of interest rate that is specified for a...

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Spot contract

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date. The settlement price (or rate) is called spot price (or spot rate). A spot contract is in contrast with a forward contract or futures contract where...

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Interest rate

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during this period. Forward rate List of countries by central bank interest rates Macroeconomics Rate of return Short-rate model Spot rate Fisher, Irving (1907)...

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Euribor

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to 2015, the rate was published by the European Banking Federation. Euribors are used as a reference rate for euro-denominated forward rate agreements,...

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SABR volatility model

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SABR model describes a single forward F {\displaystyle F} , such as a LIBOR forward rate, a forward swap rate, or a forward stock price. This is one of...

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LIBOR market model

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forward LIBOR dynamics for different forward rates with spanning tenors and maturities, each forward rate being consistent with a Black interest rate...

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Local volatility

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model, at least for assets with zero drift, e.g. forward prices or forward interest rates under their forward measure, can be seen as a local volatility model...

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Government debt

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currency to eliminate exchange rate risk for foreign lenders, but that means the borrowing government then bears the exchange rate risk. Also, by issuing debt...

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Foreign exchange swap

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T}{1+r_{f}\cdot T}}\right),} where F = forward rate S = spot rate rd = simple interest rate of the term currency rf = simple interest rate of the base currency T =...

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Interest rate derivative

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movement of the underlying interest rate index. Examples of linear IRDs are; interest rate swaps (IRSs), forward rate agreements (FRAs), zero coupon swaps...

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Bit rate

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speed of a technology that involves forward error correction typically refers to the physical layer net bit rate in accordance with the above definition...

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Constant maturity swap

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rate swap is similar to a series of forward rate agreements. Valuation of constant maturity swaps depend on volatilities of different forward rates and...

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Swap rate

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(floating) rate, e.g. 3 months LIBOR over time. (At any given time, the market's forecast of what LIBOR will be in the future is reflected in the forward LIBOR...

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Day count convention

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including bonds, notes, loans, mortgages, medium-term notes, swaps, and forward rate agreements (FRAs). This determines the number of days between two coupon...

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Libor

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their reference rate. Standard interbank products: Forward rate agreements Interest rate futures, e.g. Eurodollar futures Interest rate swaps Swaptions...

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