RE: decreasing discount factors

Posted by Andre Louw-2 on Nov 08, 2002; 4:58am
URL: http://quantlib.414.s1.nabble.com/decreasing-discount-factors-tp10170p10171.html

Hi,

Just my penny's worth.

Using the discount factor formula, if the change in rates is big enough
relative to the time period, it is quite possible for the discount factors
to increase!

E.g:
                       
                        Rate Days Df
                3M 2.30 90/365 0.99436
                6M 1.10 180/365 0.99460

This is unlikely but of course not impossible - never ASS-U-ME, it makes an
ASS out of U and ME!
 
Thanx

Andre
 
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