Spot rates from one-year forward rates

Converts annual effective one-year forward rates \(f_{0,1},f_{1,1},\ldots,f_{n-1,1}\) into annual effective spot rates: $$ (1+z_n)^n = \prod_{j=0}^{n-1}(1+f_{j,1}). $$

Usage

z_from_fn1(fn1)

Arguments

fn1

Numeric vector of annual effective one-year forward rates. Each value must be greater than -1.

Value

A numeric vector of annual effective spot rates.

Examples

z_from_fn1(c(0.04, 0.05, 0.06, 0.07, 0.08))
#> [1] 0.04000000 0.04498804 0.04996825 0.05494075 0.05990565