Discount Factor Calculation: disagreement between QuantLib and Bloomberg?

Posted by Alessio Benavoli on Jan 19, 2014; 5:21pm
URL: http://quantlib.414.s1.nabble.com/Discount-Factor-Calculation-disagreement-between-QuantLib-and-Bloomberg-tp14865.html

Dear  All,

I have noticed a disagreement between QuantLib and Bloomberg

that seems to be due to the way the ending date of a FRA is computed.

I'm using the following market data

Today: 30 Sept 2013

Fixing: 2 Days

Calendar: TARGET,

Rule: adj:modifiedfollowing

DayCount: Act/360

Depo1m Quote: 0.0034567
Fra1x7m Quote: 0.0036

My goal is to compute Discount Factors.

Depo1m starts 2 Oct 2013 and ends to 4 Nov. 2013 (because of weekend).

Fra1x7m should also start on 4 Nov. 2013, but I'm not sure which  ending

date should be used:
a) 2 May 2014 that is 7 months after 2 Oct 2013;

b) or 5 May 2014 that is 6 months after  4 Nov. 201.

If I use rule (a), then DF(2 May 2014)=0.997897 which coincides with the value that I have downloaded from Blomberg relative to the above market data.

If instead I use (b) then DF(5 May 2014)=0.997867, which is

the value that I obtain using QUANTLIB. 

Which is the correct one (a) or (b) ? Is it possible that  Blomberg and Quantlib disagree on this point?

Thank you for the help.

Best,

Alessio Benavoli

 

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