  In this paper we study empirically the Forward Rate Curve (FRC) of 5
different currencies. We confirm and extend the findings of our previous
investigation of the U.S. Forward Rate Curve. In particular, the average FRC
follows a square-root law, with a prefactor related to the spot volatility,
suggesting a Value-at-Risk like pricing. We find a striking correlation between
the instantaneous FRC and the past spot trend over a certain time horizon, in
agreement with the idea of an extrapolated trend effect. We present a model
which can be adequately calibrated to account for these effects.
