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If 3 month forward rate and 1 year forward rate is given , how to find out the five month forward rate … ?
3 month : 1.9066
1 year : 1.8901@anu1234 said:
If 3 month forward rate and 1 year forward rate is given , how to find out the five month forward rate … ?
3 month : 1.9066
1 year : 1.8901Russell: What on earth is the point in simply copying anu1234’s question??
Anu1234: You need to apportion between the 3 month and the 12 month rates. Between the two is 9 months, and to go from three months we need an extra 2 months.
So take the 3 month rate and then subtract 2/9 of the difference between the 3 month and the 12 month rate.
1.9066 – 2/9(1.9066 – 1.8901) = 1.9029
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