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- W136774533 abstract "The concept that money due at some time in the future is worth less than money received today is fundamental to most financial analyses. Before such analyses may be performed, it is necessary to estimate a discount δ function such that (1) $${{text{c}}_{text{t}}},*,{delta _{text{t}}}, = ,{{text{c}}_{text{0}}},forall ,{text{t}}, geqslant ,{text{0}}$$ where ct is cash at time t and c0 its value at time 0. Associated with the concept of a discount function is that of forward rates, ie. what rate of interest should be applied to ct over a time period (t’−t) to estimate the worth of the cash at time t’? The forward rate may be easily constructed from the discount function, namely (2) $${{text{f}}_{{text{t,t'}}}}, = ,left( {{delta _{text{t}}}/{delta _{{text{t'}}}}} right), - ,1,forall ,{text{t'}}, geqslant ,{text{t}}$$" @default.
- W136774533 created "2016-06-24" @default.
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- W136774533 date "1993-01-01" @default.
- W136774533 modified "2023-10-14" @default.
- W136774533 title "The Construction of Smoothed Forward Rates" @default.
- W136774533 doi "https://doi.org/10.1007/978-3-642-95900-4_8" @default.
- W136774533 hasPublicationYear "1993" @default.
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