Forward vs Spot Interest Rate Matrix Time Horizon This code uses the arbitrage free approach to construct forward rates from the given spot rates. Zi denotes i-year spot rate, and fi,j is j-year forward rate starting in year i. In order to get forward rates, you need to specify all spot rates for the selected time horizon. Adopted from CFA level II materials. 1-year 2-year Enter Spot Rates: Forward Rates in 1 Year: