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I‘m taking a course on interest rate modelling and we started talking about yield curves. We defined the discretely compounded zero rate curves, simple compounded zero rate curves, continuous compounded zero rate curves and continuous compounded forward rates and I think I understood the meaning behind them. But considering an example yield curve I have the following problem: In the lecture notes a yield curve example is given with the related table of terms, dates, times and input rates. What is the meaning of those input rates and how can I calculate the annual zero rate, continuous zero rate and forward rate out of it (to get the given yield curves in the example)?

Thanks in advance!

Conny
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  • Not sure how we can guess what data your lecturer handed you...why not ask him/her? – lulu Nov 04 '18 at 12:38
  • @lulu That would be my next approach but I hoped that there might be general conventions which kind of input rates are given for calculating yield curves. – Conny Nov 04 '18 at 12:45
  • No, there isn't. You can built them out of forward rates, spot rates, swap rates, bond yields, and so on. – lulu Nov 04 '18 at 12:51
  • Thanks for your answer. I will ask the lecturer tomorrow and hope that I‘ll understand his answer! – Conny Nov 04 '18 at 13:04

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