AW: settlement days for discount factor

Posted by Jens Thiel on Jan 06, 2003; 3:33am
URL: http://quantlib.414.s1.nabble.com/settlement-days-for-discount-factor-tp2329p2332.html


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.
>
>
>
>
>