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RE: decreasing discount factors

Posted by Ferdinando M. Ametrano-2 on Nov 08, 2002; 7:01am
URL: http://quantlib.414.s1.nabble.com/decreasing-discount-factors-tp10170p10174.html

>They were including overnight rates, and the impedence mismatch between
>the very-short and the short rate region caused a hump on the
>discounts---a very real one, but not an arbitrage opportunity, mind you,
>because they were on the same side. Combining a bid and an ask side would
>not give increasing discounts, of course.
got it, thank you.

ciao -- Nando