PPT Slide
Short rates are the forward rates spanning a single time period. The short rate at time k is rk = fk, k+1.
The spot rate Sk and the short rates r0, …, rk-1 are related by
(1 + Sk)k = (1 + r0) (1 + r1) … (1 + rk-1)
(1 + fi, j)j-i = (1 + ri) (1 + ri+1) … (1 + rj-1).
The short rate for a specific year does not change (in the context of expectations dynamics).