# discount factor, zero rates, zero curve from BBG

How can I calculate the discount factor for row 1?

I would do

$$\frac{1}{(1+ 2.13763/100)^{(90/360)}} = 0.994726197703956$$

My ultimate goal is to reproduce the Zero Rates. Any hints welcome. but this does not agree with the screenshot ($$0.994626$$).

Update

According to here I might need a different form of compounding. Still the results do not match. $$\frac{1}{1+ (2.13763/100)*{(90/360)}} = 0.994684332326721$$

This is closer, but far from an exact match.

Using 91 instead of 90 and second version, I do get a matching result.

$$\frac{1}{1+ (2.13763/100)*{(91/360)}} = 0.994625586781402$$

Why would I be using 91 days instead of 90?

• if you solve for x where x = ? / 360, what do you get such that you get their discount factor? Also, on BBG, hit F1 twice. The help desk will pick up and answer your Q directly. Nov 6 '19 at 0:02
• Unfortunately, I only have a screenshot but no BBG access. I updated with the solved x. Nov 6 '19 at 7:29

## 1 Answer

Because there is 91 days between 2019-12-03 and 2019-09-03.

• so all date ranges relative to settle date? Apr 13 '20 at 8:41
• If you are pricing a trade "as of now" I think so, but if you are valuing a trade as of some date in the past the valuation and settlement dates are the same. If you have access to Bloomberg I would confirm with their help team. Apr 13 '20 at 16:13