settlement days for discount factor

[Chak Jack Wong]

Hi,
Can someone explain to me the convention of the discount curve. (I am
using 0.3).
The discount curve starts from the settlement day (from the example
program I tried is 2 days.) i.e. the discount factor at 2 days from now
is 1 rather than < 1.  Why is that?
Jack

[Jens Thiel]

> Hi,
> Can someone explain to me the convention of the discount curve. (I am
> using 0.3).
> The discount curve starts from the settlement day (from the example
> program I tried is 2 days.) i.e. the discount factor at 2 days from now
> is 1 rather than < 1.  Why is that?
> Jack
>

This is the definition for most published discount rates, eg.:

"Euribor is quoted for spot value (T+2) and on an act/360 day-count
convention."
(from http://www.euribor.org/html/content/euribor_tech.html)


Jens.

[Chak Jack Wong]

Hi, Jens,
Thanks a lot.  However, I have the overnight rate there already (settlement
1d ),  but still I cannot ask for the discount factor of today.
The internal curve I use have today's discount factor as 1.  How can I get
this behavior with the quantlib curve?

Thanks a lot.
Jack


Jens Thiel wrote:

> > Hi,
> > Can someone explain to me the convention of the discount curve. (I am
> > using 0.3).
> > The discount curve starts from the settlement day (from the example
> > program I tried is 2 days.) i.e. the discount factor at 2 days from now
> > is 1 rather than < 1.  Why is that?
> > Jack
> >
>
> This is the definition for most published discount rates, eg.:
>
> "Euribor is quoted for spot value (T+2) and on an act/360 day-count
> convention."
> (from http://www.euribor.org/html/content/euribor_tech.html)
>
> Jens.

[Jens Thiel]

Jack,

try DiscountCurve from the 0.3.1 release candidate

  http://quantlib.org/gm/QuantLib-0.3.1.tar.gz

dates[0] is the settlement date, discounts[0] must be == 1.

Jens.

>
> Hi, Jens,
> Thanks a lot.  However, I have the overnight rate there already
> (settlement
> 1d ),  but still I cannot ask for the discount factor of today.
> The internal curve I use have today's discount factor as 1.  How can I get
> this behavior with the quantlib curve?
>
> Thanks a lot.
> Jack
>
>
> Jens Thiel wrote:
>
> > > Hi,
> > > Can someone explain to me the convention of the discount curve. (I am
> > > using 0.3).
> > > The discount curve starts from the settlement day (from the example
> > > program I tried is 2 days.) i.e. the discount factor at 2
> days from now
> > > is 1 rather than < 1.  Why is that?
> > > Jack
> > >
> >
> > This is the definition for most published discount rates, eg.:
> >
> > "Euribor is quoted for spot value (T+2) and on an act/360 day-count
> > convention."
> > (from http://www.euribor.org/html/content/euribor_tech.html)
> >
> > Jens.
>
>
>
>
>