Today Thu 12/14/17

InputDate Sat 03/24/18

NumSettleDays 2

Time
Expiry Interest Rates settleDate (today to sett) endDate IsBizEndDate
ON 1.00% Thu 12/14/17 - Fri 12/15/17 1
1W 2.00% Mon 12/18/17 0.0111 Mon 12/25/17 1
2W 3.00% Mon 12/18/17 0.0111 Mon 01/01/18 1
1M 3.00% Mon 12/18/17 0.0111 Thu 01/18/18 1
2M 4.00% Mon 12/18/17 0.0111 Sun 02/18/18 0
3M 5.00% Mon 12/18/17 0.0111 Sun 03/18/18 0
4M 6.00% Mon 12/18/17 0.0111 Wed 04/18/18 1
print

inputDateMatch 6
time(today To InputDate) 0.2777777778

Calc for inputDateMatch > 1

time rate
todayToSettle 0.0111 0.01000
settleToMaturity 0.2528 0.04969
maturityToInputDate 0.0139 0.0889
zeroRate 5.0059%
discountFactor 0.98619

Calc for inputDateMatch > 1

zeroRate 0.01000
discountFactor 0.99723

Output
zeroRate 0.05006
discountFactor 0.98619
 Time Time DiscountFactor ForwardRate Time discountFactor
adjEndDate (today to mat) (sett to mat) (sett to mat) (sett to mat) (mat[0] to mat[1]) (mat[0] to mat[1])
Fri 12/15/17 0.0028 0.0028 0.99997 1.0000% 0.0167 0.99964
Mon 12/25/17 0.0306 0.0194 0.99961 1.9996% 0.0194 0.99922
Mon 01/01/18 0.0500 0.0389 0.99883 2.9983% 0.0472 0.99859
Thu 01/18/18 0.0972 0.0861 0.99742 2.9961% 0.0889 0.99561
Mon 02/19/18 0.1861 0.1750 0.99305 3.9861% 0.0778 0.99443
Mon 03/19/18 0.2639 0.2528 0.98752 4.9687% 0.0833 0.99262
Wed 04/18/18 0.3472 0.3361 0.98023 5.9403%
print print print print print
0.3166666667
forwardRate
(mat[0] to mat[1])
2.1662%
3.9969%
2.9944%
4.9451%
7.1795%
8.8876%

print
Holiday 2006
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Holiday 2007
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