BROWSE

Implied Rate

What is an 'Implied Rate'

An implied rate is an interest rate that is determined by the difference between the spot rate and the forward/futures rate. The degree of relative costliness of a future rate can be assessed by comparing the implied rate with the spot rate.

Calculated as:

Explaining 'Implied Rate'

For example, if the present spot rate of LIBOR is 5% and the forward rate for LIBOR is 6%, the implied rate is 1%. This situation merits the impression that the future rate for borrowing will be more expensive.


Further Reading


Are implied volatilities more informative? The Brazilian real exchange rate case
www.tandfonline.com [PDF]
This article examines the relation between dollar–real exchange rate volatility implied in option prices and subsequent realized volatility. It investigates whether implied volatilities contain information about volatility over the remaining life of the option that is not present in …

PE ratios, PEG ratios, and estimating the implied expected rate of return on equity capitalPE ratios, PEG ratios, and estimating the implied expected rate of return on equity capital
meridian.allenpress.com [PDF]
This article examines the relation between dollar–real exchange rate volatility implied in option prices and subsequent realized volatility. It investigates whether implied volatilities contain information about volatility over the remaining life of the option that is not present in …

Implied interest ratesImplied interest rates
www.jstor.org [PDF]
This article examines the relation between dollar–real exchange rate volatility implied in option prices and subsequent realized volatility. It investigates whether implied volatilities contain information about volatility over the remaining life of the option that is not present in …

The economics of options-implied inflation probability density functionsThe economics of options-implied inflation probability density functions
www.sciencedirect.com [PDF]
This article examines the relation between dollar–real exchange rate volatility implied in option prices and subsequent realized volatility. It investigates whether implied volatilities contain information about volatility over the remaining life of the option that is not present in …

The calculation of implied variances from the Black-Scholes model: A noteThe calculation of implied variances from the Black-Scholes model: A note
www.jstor.org [PDF]
This article examines the relation between dollar–real exchange rate volatility implied in option prices and subsequent realized volatility. It investigates whether implied volatilities contain information about volatility over the remaining life of the option that is not present in …

Forecasting exchange rate volatility: GARCH models versus implied volatility forecastsForecasting exchange rate volatility: GARCH models versus implied volatility forecasts
link.springer.com [PDF]
This article examines the relation between dollar–real exchange rate volatility implied in option prices and subsequent realized volatility. It investigates whether implied volatilities contain information about volatility over the remaining life of the option that is not present in …

Uncertainty and implied variance bounds in long-memory models of the interest rate term structureUncertainty and implied variance bounds in long-memory models of the interest rate term structure
link.springer.com [PDF]
This article examines the relation between dollar–real exchange rate volatility implied in option prices and subsequent realized volatility. It investigates whether implied volatilities contain information about volatility over the remaining life of the option that is not present in …

Stochastic implied trees: Arbitrage pricing with stochastic term and strike structure of volatilityStochastic implied trees: Arbitrage pricing with stochastic term and strike structure of volatility
www.worldscientific.com [PDF]
This article examines the relation between dollar–real exchange rate volatility implied in option prices and subsequent realized volatility. It investigates whether implied volatilities contain information about volatility over the remaining life of the option that is not present in …

Two unconditionally implied parameters and volatility smiles and skewsTwo unconditionally implied parameters and volatility smiles and skews
www.tandfonline.com [PDF]
This article examines the relation between dollar–real exchange rate volatility implied in option prices and subsequent realized volatility. It investigates whether implied volatilities contain information about volatility over the remaining life of the option that is not present in …

Implied discount rate and payback threshold of energy efficiency investment in the industrial sectorImplied discount rate and payback threshold of energy efficiency investment in the industrial sector
www.tandfonline.com [PDF]
This article examines the relation between dollar–real exchange rate volatility implied in option prices and subsequent realized volatility. It investigates whether implied volatilities contain information about volatility over the remaining life of the option that is not present in …


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