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  • FWD Curve

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    Tyler Tsai
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    The document contains a table with LIBOR/Swap spot rates on various dates going forward until the year 2034. It also includes the implied forward rates calculated from the spot rates. There is a calculation shown to derive a 3-month forward rate 2 years in the future, and it is noted that this calculated rate is lower than what is shown on Bloomberg.

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    Fwd_Curve

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    The document contains a table with LIBOR/Swap spot rates on various dates going forward until the year 2034. It also includes the implied forward rates calculated from the spot rates. There is a calculation shown to derive a 3-month forward rate 2 years in the future, and it is noted that this calculated rate is lower than what is shown on Bloomberg.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    13 views1 page

    FWD Curve

    Uploaded by

    Tyler Tsai
    The document contains a table with LIBOR/Swap spot rates on various dates going forward until the year 2034. It also includes the implied forward rates calculated from the spot rates. There is a calculation shown to derive a 3-month forward rate 2 years in the future, and it is noted that this calculated rate is lower than what is shown on Bloomberg.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
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    of 1

    LIBOR/Swap Spot Rates

    Date Days Implied/Live(for fwd curve)


    4/28/2004 1 1.0247% 1.0247%
    5/4/2004 7 1.0523% 1.0523%
    7/26/2004 90 1.1400% 1.1400%
    10/24/2004 180 1.3160% 1.3160%
    1/22/2005 270 1.5014% 1.5014%
    4/22/2005 360 1.6868% 1.6868%
    4/27/2006 730 2.5790% 2.5956%
    4/27/2007 1095 3.1900% 3.2154%
    4/26/2008 1460 3.6410% 3.6741%
    4/26/2009 1825 3.9820% 4.0216%
    4/26/2010 2190 4.2510% 4.2962%
    4/26/2011 2555 4.4620% 4.5118%
    4/25/2012 2920 4.6340% 4.6877%
    4/25/2013 3285 4.7790% 4.8361%
    4/25/2014 3650 4.9030% 4.9631%
    4/24/2019 5475 5.3320% 5.4031%
    4/22/2024 7300 5.5220% 5.5982%
    4/20/2034 10950 5.5800% 5.6578%

    To calculate:3-month forward rate 2 years from now

    Spot rate 821 days from today 2.7502%

    Reqd. Forward rate 3.7903%

    This is much lower than what Bloomberg has.

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