The continuously compounded spot interest rate, denoted as R(t,T), is the rate prevailing at time t for the maturity T. It is the constant rate at which an investment P(t,T) at time t accrues continuously to yield a unit amount of curency at maturity T As we have seen before, the zero coupon bond price for a deterministic rate R(t,T) can be expressed as If we set [T-t] as ![]() giving Re-arranging, the continuously compounded spot interest rate is given by The Zero Coupn Bond price expressed in terms of the continuously compounded spot interest rate is |