Bonds and Interest Rates
Tags: #Financial #EconomicsEquation
$$P(0, S) = \frac{1}{[1 + r(0, s)]^{s}} \text{or} e^{-r(0,s)s} \\ \text{Forward bond price} \\ F_{t,T}[P(T, T+s)] = \frac{P(t, T+s)}{P(t, T)} \\ P(t, T)[1 + r_{t}(T, T+s)]^{-s} = P(t, T+s)$$Latex Code
P(0, S) = \frac{1}{[1 + r(0, s)]^{s}} \text{or} e^{-r(0,s)s} \\
\text{Forward bond price} \\
F_{t,T}[P(T, T+s)] = \frac{P(t, T+s)}{P(t, T)} \\
P(t, T)[1 + r_{t}(T, T+s)]^{-s} = P(t, T+s)
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Introduction
Equation
Latex Code
P(0, S) = \frac{1}{[1 + r(0, s)]^{s}} \text{or} e^{-r(0,s)s} \\
\text{Forward bond price} \\
F_{t,T}[P(T, T+s)] = \frac{P(t, T+s)}{P(t, T)} \\
P(t, T)[1 + r_{t}(T, T+s)]^{-s} = P(t, T+s)
Explanation
Latex code for the Bonds and Interest Rates. The price of an s-year zero is P(0, S). The forward bond price formula is calculated as
. And the
non-continuous annualized rate is
.
: Price of an s-year zero.
: Forward Bond Price
: Non-continuous annualized rate
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