which comes first. Are forward-forward rates (and hence futures prices and FRA rates) the mathematical result of the yield curve? Or are the market's expectations of future rates (i.e. forward-forwards, futures and FRAs) the starting point, and from these it is possible to create the yield curve? The question is a circular one to some extent, but market traders increasingly look at constructing a yield curve from expected future rates for various periods and maturities
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- (no access) - Mastering Financial Calculations 3ed (Steiner), p93