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Inv Lecture 4.pdf
Inv_Lecture_4.pdf
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Inv Lecture 4.pdf-Investments Prof. Andrea Burasch...
Inv_Lecture_4.pdf-Investments Prof. Andrea Buraschi Lecture 4
Inv Lecture 4.pdf-Investments Prof....
Inv_Lecture_4.pdf-Investments Prof. Andrea Buraschi Lecture 4
Page 68
LIBOR rates via forward rates
From forward formulas we know:
Last lecture, we use the spot rates to find forward rates.
Now, we use forward rates to find spot rates.
“Bootstrapping the forward curve”
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Home
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Page 69
“Bootstrap” forward rates to get spot rates
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This allows us to compute all of the LIBOR rates via the first LIBOR rate
and LIBOR forward rates
Home
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Page 71
2/7/2004
Johannes
71
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