Compute the forward rate calculated from interpolated rates from a
yield curve. CAUTION: the forward rate is floored to 0.000001.
Explanation of Input Parameters:
Variables:
- nodes: is a 1xN vector with all timesteps of the given curve
- rates: is MxN matrix with curve rates defined in columns. Each
row contains a specific scenario with different curve structure
- days_to_t1: is a scalar, specifiying term1 in days
- days_to_t2: is a scalar, specifiying term2 in days after term1
- comp_type: (optional) specifies compounding rule (simple,
discrete, continuous (defaults to ’cont’)).
- interp_method: (optional) specifies interpolation method for
retrieving interest rates (defaults to ’linear’).
- comp_freq: (optional) compounding frequency (default: annual)
- basis: (optional) day count convention of instrument (default: act/365)
- valuation_date: (optional) valuation date (default: today)
- comp_type_curve: (optional) compounding type of curve
- basis_curve: (optional) day count convention of curve
- comp_freq_curve: (optional) compounding frequency of curve
- floor_flag: (optional) Bool: flooring forward rates to 0.000001
See also: interpolate_curve, convert_curve_rates,timefactor.