@dtammerz forward rates chain to the spot rate; e.g., if f(1) = 1.0% and f(1,2) = 3.0%, then z(2) = sqrt(

**1.01*1.03**) - 1 ~= 2.0%, such that to discount the 2-year annual coupon we can multiply the coupon by

**1/1.02^2 = 1/(1.01*1.03)**. You are correct: just as the Law of One Price says

*each maturity has only one discount factor (spot rate)*, it follows that it must also be true that any forward interval can be occupied by only one forward rate. But the above chaining is just parsing a spot rate into its implied chain of forwards.

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