Can someone explain to me why the 3M Zero Rate is not equal to the 3M Cash Rate?
Thanks.
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1$\begingroup$ Did you ask the help desk? $\endgroup$– AKdemyJun 17, 2022 at 4:50
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1$\begingroup$ Doesn't the difference stem from the difference in conventions (day count, compounding, ...) between the Market Rate and the Zero Rate? $\endgroup$– KermittfrogJun 17, 2022 at 6:07
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1 Answer
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Market Rate, for this particular case, is a rate quoted on ACT/360 basis, start date = 21/06/2022, end date = 21/09/2022 on ACT/360 basis means year fraction 92/360. Discount Factor is $1/(1+92/360*2.02957\%)=0.99484008$. Zero rate is continous rate on ACT/365 basis, therefore $ZR=-ln(0.99484008)/(92/365)=2.05244\%$
