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Actually depending upon how you want to define your curve it might actually be mathematically impossible to create a set of discount factors from a given set of rates. As an anecdotal sidenote the trading bank I worked for constructed a set of forecast rate only curves, for which discount factors did not exist. Let me describe why. Suppose you have the ...


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I have been told that you are wrong even for the EONIA case, and that in fact, in both cases, one has : $$ZC(t) = e^{-\textrm{year fraction($t$,today)} \times \textrm{rate at }t}$$ if $\textrm{year fraction($t$,today)} < 1$ and that $$ZC(t) = \frac{1}{\left(1 + \textrm{year fraction($t$,today)} \times \textrm{rate at }t\right)^{\textrm{year fraction($t$,...


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