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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 ($0.994626$).

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?

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  • $\begingroup$ 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, 2019 at 0:02
  • $\begingroup$ Unfortunately, I only have a screenshot but no BBG access. I updated with the solved x. $\endgroup$
    – PalimPalim
    Nov 6, 2019 at 7:29

1 Answer 1

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

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  • $\begingroup$ so all date ranges relative to settle date? $\endgroup$
    – PalimPalim
    Apr 13, 2020 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, 2020 at 16:13

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