Re: settlement days for discount factor

Posted by Jens Thiel on Jan 06, 2003; 2:22am
URL: http://quantlib.414.s1.nabble.com/settlement-days-for-discount-factor-tp2329p2330.html

> 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.