V-Lab LogoV-Lab

Documentation>Fixed Income Analysis

ESR Interest Rate Forecast
f i , t = f ¯ exp ( Y i , t f ¯ - 1 ) { Y i , t < f ¯ } + f i , t { Y i , t > f ¯ } R ( t , τ i ) = { f i , t if i = 1 ( 1 - τ i - 1 τ i ) f i , t + τ i - 1 τ i R ( t , τ i - 1 ) , i 2