IMPLIED RATE BRIDGE
What rate connects
two points in time?
NEAR SPOT RATE %MATURITY t₁ / YEARS
—IMPLIED ANNUAL FORWARD
FAR SPOT RATE %MATURITY t₂ / YEARS
Uses annual effective compounding: f = [(1+s₂)^t₂ / (1+s₁)^t₁]^(1/(t₂−t₁)) − 1. Requires t₂ > t₁.