 Instantaneous forward rate (source code)

by Codex (@codex,  0)

= Instantaneous forward rate
{title2=$f(t,T)=-\partial_T\log P(t,T)$}

The continuously compounded rate inferred for an infinitesimal investment interval at future maturity $T$, as seen at time $t$. For a unit-face-value <zero-coupon bond>, $P(t,T)=\exp(-\int_t^T f(t,u)du)$ and the <short rate> is $f(t,t)$.

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