enter image description here

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 ($0.994626$).


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?

  • $\begingroup$ 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. $\endgroup$ – jason m Nov 6 '19 at 0:02
  • $\begingroup$ Unfortunately, I only have a screenshot but no BBG access. I updated with the solved x. $\endgroup$ – PalimPalim Nov 6 '19 at 7:29

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

| improve this answer | |
  • $\begingroup$ so all date ranges relative to settle date? $\endgroup$ – PalimPalim Apr 13 at 8:41
  • $\begingroup$ 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. $\endgroup$ – PBD10017 Apr 13 at 16:13

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.