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Discount factors from interest rates

computes discount factors from interest rates where interval points are input as
times in periodic units. `Disc`

= rate2disc(`Compounding`

,`Rates`

,`EndTimes`

,`StartTimes`

)

The `rate2disc`

function computes the discounts over a series of
`NPOINTS`

time intervals given the annualized yield over those
intervals. `NCURVES`

different rate curves can be translated at
once if they have the same time structure. The time intervals can represent a zero
curve or a forward curve.

The output `Disc`

is an
`NPOINTS`

-by-`NCURVES`

column vector of
discount factors in decimal form representing the value at time
`StartTimes`

of a unit cash flow received at time
`EndTimes`

.

`[`

computes discount factors from interest rates where
`Disc`

,`EndTimes`

,`StartTimes`

] = rate2disc(`Compounding`

,`Rates`

,`EndTimes`

,`StartTimes`

,`ValuationDate`

,`Basis`

,`EndMonthRule`

)`ValuationDate`

is passed and interval points are input as
dates.

You can specify the investment intervals either with input times or with input
dates. Entering `ValuationDate`

invokes the date interpretation;
omitting `ValuationDate`

invokes the default time
interpretations.