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Polytot June 04

This topic has 1 reply, 2 voices, and was last updated 7 years ago by John Moffat.

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August 13, 2018 at 2:27 pm #467702
shadyy
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- Topics: 7
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Hi Moffat
– In (a) i didn’t understand working of interpolating 4 months forward rate
August 13, 2018 at 10:15 pm #467764
John Moffat
Keymaster
- Topics: 57
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The difference between the 3 months and the 12 months rate is the difference for 9 months.
So to get the 4 month rate (which is 1 month more than 3 month) you take the 3 months rate and adjust by 1/9 of the difference between the 3 month and 12 month rates.
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