11.2.1.5 Implied Forward

The Implied Forward calculation assumes that the rate is a zero-coupon yield. If the IRC rate format is yield-to-maturity the following process occurs:

• Translate input rates from yield-to-maturity to zero-coupon yield.
• Apply implied forward calculations on zero-coupon yields.
• Translate results of implied forward calculation from zero-coupon yields back into yield-to-maturity.

For IRCs that are already in zero-coupon yield format, the implied forward calculations can be applied directly to the historical rates, and no conversion between formats is required.