2. Figure 5.1: The Graph of an Upward Sloping Forward Rate Curve
f(t,T)
r(t)
| | | | |  T
Figure 5.1: The Graph of an Upward Sloping Forward Rate Curve

9. time 0 1 2 3 4
Figure 5.2: An Example of a One-Factor Bond Price Curve Evolution. Actual Probabilities Along Each Branch of the Tree

13. Contract at time t f(t,T) f(t,T) | | | | t t+1 … T T+1 time Wait to
| | | |
t t+1 … T T+1
time
Wait to
borrow
r(T)
Et(r(T))
Distribution
for r(T)
Figure 5.3: The Forward Rate f(t, T) versus the Expected Spot Rate Et(r(T)).

15. Figure 5.4
: An Example of a One-Factor
Forward Rate Curve. Actual Probabilities
Along Each Branch of the Tree

22. Figure 5.5: Mean Excess Returns on Zero-coupon bonds of Different Maturities

24. Figure 5.6: Forecasting Bias of Forward Rates of Different Maturities