Discount Curve Calculation

BillyRay

New member
Joined
Aug 30, 2021
Messages
1
Hello,

I am reaching my 2nd day trying to figure out how the Discount Factors numbers in the last column are calculated exactly ?

Screen Shot 08-30-21 at 07.42 PM.JPG

The first 4 rows are calculated using the Deposit Accrual from the Euribor rates with this formula:

Screen Shot 08-30-21 at 07.46 PM.JPG

I have those numbers right.

But starting from the 5th row where the discount factors are now calculated using Swap Accruals instead of Deposit Accruals, using this formula:

Screen Shot 08-30-21 at 07.46 PM 001.JPG

I cannot get those numbers exactly right.

Can someone help pleaaase ?

Thank you very much ?
 
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