RainbowStats™ · Finance commands

FWD_FROM_CURVE

Calculate a continuously compounded forward rate from a saved curve matrix.

Syntax

FWD_FROM_CURVE(curveName,T1,start,T2,end)

Example

C=ZCB_VASICEK_CURVE(R0,0.03,TMIN,1,TMAX,10,N,10)
EVAL(FWD_FROM_CURVE(C,T1,2,T2,5))

Details

The first argument is an equation-map variable containing a matrix with maturity and discount-factor columns. T1/T2 are finite literal numbers and T2 must exceed T1. Uses Matrix.interpCurveP and (log(P1)-log(P2))/(T2-T1). Both interpolated discount factors must be positive and finite. Returns symbolic Const; EVAL provides numeric text. A CIR curve chart cannot be passed as this matrix.

No result-specific extract inventory was verified for this wrapper. Interactive models may inherit extraction behavior from their base classes.