disc2rate - Interest rates from cash flow discounting factors

Compounding

Scalar value representing the rate at which the input zero rates were compounded when annualized. This argument determines the formula for the discount factors:

Compounding = 1, 2, 3, 4, 6, 12

Disc = (1 + Z/F)^(-T), where F is the compounding frequency, Z is the zero rate, and T is the time in periodic units; for example, T = F is 1 year.

Compounding = 365

Disc = (1 + Z/F)^(-T), where F is the number of days in the basis year and T is a number of days elapsed computed by basis.

Compounding = -1

Disc = exp(-T*Z), where T is time in years.

Disc

Number of points (NPOINTS) by number of curves (NCURVES) matrix of discounts. Disc are unit bond prices over investment intervals from StartTimes, when the cash flow is valued, to EndTimes, when the cash flow is received.

EndTimes

NPOINTS-by-1 vector or scalar of times in periodic units ending the interval to discount over.

StartTimes

(Optional) NPOINTS-by-1 vector or scalar of times in periodic units starting the interval to discount over. Default = 0.

EndDates

NPOINTS-by-1 vector or scalar of serial maturity dates ending the interval to discount over.

StartDates

(Optional) NPOINTS-by-1 vector or scalar of serial dates starting the interval to discount over. Default = ValuationDate. StartDates must be earlier than EndDates.

ValuationDate

Scalar value in serial date number form representing the observation date of the investment horizons entered in StartDates and EndDates. Required in Usage 2. Omitted or passed as an empty matrix to invoke Usage 1.

Basis

(Optional) Day-count basis of the instrument. A vector of integers.

• 0 = actual/actual (default)

• 1 = 30/360 (SIA)

• 2 = actual/360

• 3 = actual/365

• 4 = 30/360 (BMA)

• 5 = 30/360 (ISDA)

• 6 = 30/360 (European)

• 7 = actual/365 (Japanese)

• 8 = actual/actual (ICMA)

• 9 = actual/360 (ICMA)

• 10 = actual/365 (ICMA)

• 11 = 30/360E (ICMA)

• 12 = actual/actual (ISDA)

• 13 = BUS/252

For more information, see basis.

EndMonthRule

(Optional) End-of-month rule. A vector. This rule applies only when Maturity is an end-of-month date for a month having 30 or fewer days. 0 = ignore rule, meaning that a bond's coupon payment date is always the same numerical day of the month. 1 = set rule on (default), meaning that a bond's coupon payment date is always the last actual day of the month.