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26 views6 pages

3 Month Forwards

forwards

Uploaded by

SRGVP
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLS, PDF, TXT or read online on Scribd
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Stuart Turner

Three-month Forward Rate calculator


Libor Rates Term
1 Month 1.8400% 30
2 Month 1.9163% 60
3 Month 2.0275% 90
4 Month 2.0800% 120
5 Month 2.1300% 150
6 Month 2.2000% 180
7 Month 2.2500% 210
8 Month 2.3000% 240
9 Month 2.3500% 270
10 Month 2.3975% 300
11 Month 2.4450% 330
12 Month 2.4888% 360

3 month rate X months forward

TERM Days LIBOR


3 month 90 2.02750%
6 month 180 2.20000%
9 month 270 2.35000%
12 month 360 2.48875%

Interpolated Rates

TERM Days LIBOR


3 month 75 1.97188%
6 month 166 2.16733%
9 month 257 2.32833%
12 month 355 2.48146%

Extrapolated Rates

TERM Days LIBOR


3 month 95 2.04604%
6 month 185 2.21167%
9 month 275 2.35833%
12 month 370 2.50333%

Interpolation/Extrapolation Term 355


First known rate 2.45%
Second known rate 2.49%
First term 330
Second term 360
Rates as at 1 October 2004

Eurodollar prices (Source: Bloomberg)


Dec-04 Mar-05 Jun-05 Sep-05 Dec-05
97.69 97.44 97.215 96.985 96.735
Fwd Rate 2.31 2.56 2.785 3.015 3.265

Forward Rate
3 month rate 3 months forward 2.360535038
3 month rate 6 months forward 2.6211671612
3 month rate 9 months forward 2.8546861565

Forward Rate
3 month rate 3 months forward 2.3446647057
3 month rate 6 months forward 2.6249262326
3 month rate 9 months forward 3.0879621317

Forward Rate
3 month rate 3 months forward 2.3736769173
3 month rate 6 months forward 2.6299243849
3 month rate 9 months forward 3.0308618465
2.48150%

-
Mar-06 Jun-06 Sep-06 Dec-06 Mar-07
96.525 96.34 96.19 96.03 95.905
3.475 3.66 3.81 3.97 4.095

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