Discount Factor - Reading 61 Swaps

discount, beginning, factor

Current 60-day rate is 6% (at the very end of pg. 106 in schweser)
The 60-day discount factor is 0.99010 (beginning of pg. 107)
Isn’t the 6% 60-day discount factor
Z60= 1/((1,06)^(60/360)) = 0,99033 ?

soverby

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发表于 2013-4-11 12:29 | 只看该作者

it is LIBOR/EURIBOR for a Swap, usually.
so it will be 1/ (1+[0.06*60/360])
Power would not be used with LIBOR….

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ramzes

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发表于 2013-4-11 12:37 | 只看该作者

thx cpk
hey Northeastern Student where are you from?

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ogoluwa

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发表于 2013-4-11 12:41 | 只看该作者

Originally NY, moved to FL, College in MA, now living in FL until law school starts, you?

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