4.15 Formula for forward rates Suppose that the zero rates for time periods T, and T, are R and r,with both rates continuously compounded The forward rate ro for the period between times t, and t is RT-RT 14ee%/2-1)=≈h=>R=12 Options, Futures, and Other Derivatives, 4th edition@ 2000 by John C. Hull Tang Yincai, C 2003, Shanghai Normal University4.15 Options, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, © 2003, Shanghai Normal University Formula for Forward Rates • Suppose that the zero rates for time periods T1 and T2 are R1 and R2 with both rates continuously compounded. • The forward rate RF for the period between times T1 and T2 is 2 1 1 1 ( 2 1 ) 2 2 2 2 1 1 T T R T RT Ae e Ae RF R T RF T T R T − − = == = −