I have calculated forward rates like this: $r_{t_1,t_2} = \left(\frac{(1+r_2)^{d_2}}{(1+r_1)^{d_1}}\right)^{\frac{1}{d_2-d_1}} - 1 $

I want to find the discount factors for these forward, with ACT/360, with this formula: $ DF(T) = \frac{1}{( 1 + \frac{r}{360} )^{ 360T } } $

Can I use the above for the ACT/360 discounting, or I have to calculate the forward prices with ACT/360?

  • $\begingroup$ It is not clear what you want to applied the discounting and for what for have to calculate the forward prices, is it for a stock? $\endgroup$ – Gordon Feb 22 '16 at 20:43

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