Description
Divide log discount ratio by time gap for continuous rate, or take its reciprocal-gap power minus one otherwise.
A financial model connects supplied rates, discount factors, cashflows or prices under a particular convention. A local identity or residual is not a complete valuation, an observed market relationship or a promise of future returns.
Divide log discount ratio by time gap for continuous rate, or take its reciprocal-gap power minus one otherwise.
When to use this tool
Use Forward Rate Discount Factor Two Dates when you need one transparent financial-model term.
How to use the tool and how it works
- Enter firstDiscount, secondDiscount, firstYears, secondYears, continuous. Use the units and conventions below.
- Run the tool. Correct any format, range, or cross-field input error before interpreting the output.
- Read forwardRate. Use the output convention below.
Require positive discount factors and ordered nonnegative maturity times. Divide log discount ratio by time gap for continuous rate, or take its reciprocal-gap power minus one otherwise.1
| Input field | Meaning and units | Accepted input |
|---|---|---|
| firstDiscount | First Discount | Required. Finite number; strictly above 0. |
| secondDiscount | Second Discount | Required. Finite number; strictly above 0. |
| firstYears | First Years | Required. Finite number; minimum 0. |
| secondYears | Second Years | Required. Finite number. |
| continuous | True gives continuous forward rate; false gives effective-per-year rate when times are years. | Required. Boolean. |
| Output field | Interpretation | Returned shape |
|---|---|---|
| forwardRate | Forward Rate | Required. Finite number. |
{
"input": {
"firstDiscount": 0.95,
"secondDiscount": 0.9,
"firstYears": 1,
"secondYears": 2,
"continuous": false
},
"output": {
"forwardRate": 0.05555555555555558
}
}Limitations and assumptions
- The second output convention is annual effective when times are years, not a simple forward rate. Discount factors are supplied without curve fitting or market validation.
- Inputs must satisfy both the field types and the cross-field conditions above. Invalid input causes an error; a successful false flag or documented placeholder is a different result.
- Numeric calculations use binary floating point unless exact decimal-integer arithmetic is explicitly stated. No hidden measurement tolerance or decimal rounding is added; nonfinite or out-of-contract results are rejected. Numeric signed-zero results are exported as zero.
Alternative or Complementary methods
Use a complete model matching the instrument, cashflows and market conventions. Review compounding, timing, currency, uncertainty and omitted costs before using a local estimate in a financial decision.
References
Similar or alternative tools
- Yield Curve Forward Slope Term
Return zeroRate+maturity×zeroRateSlope as instantaneousForward and the slope contribution separately.
- Discount Factor Log Derivative Term
Return exp(-rate×time) or (1+rate)^(-time), and derivative of log discount with respect to rate as -time or -time/(1+rate).