fx_forward-rate
Bootstrap implied forward rates from a spot yield curve. Input spot rates at various tenors and forward start/end dates to derive forward rates between each tenor pair.
Instructions
Bootstrap forward rates from a spot yield curve.
Use when bootstrapping forward rates from a yield curve. Provide spot rates at various tenors. Returns: implied forward rates between each tenor pair.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| compounding | No | Compounding convention | continuous |
| forward_end | Yes | Forward period end (years) | |
| yield_curve | Yes | Array of yield curve points | |
| forward_start | Yes | Forward period start (years) |