Question

At time zero the one period discount rates d0,1, d1,2, d2,3, ..., d5,6 are known to...

At time zero the one period discount rates d0,1, d1,2, d2,3, ..., d5,6 are known to be 0.950, 0.940, 0.932,0.925,0.919,0.913.  Find the time zero discountfactors d0,1, d0,2, ... d0,6.

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Answer #1

Formula sheet

A B C D E F
2
3 d0,1 0.95
4 d1,2 0.94
5 d2,3 0.932
6 d3,4 0.925
7 d4,5 0.919
8 d5,6 0.913
9
10 d0,1 =D3
11 d0,2 =(d0,1)*(d1,2) =D3*D4
12 d0,3 =(d0,1)*(d1,2)*(d2,3) =D3*D4*D5
13 d0,4 =(d0,1)*(d1,2)*(d2,3)*(d3,4) =D3*D4*D5*D6
14 d0,5 =(d0,1)*(d1,2)*(d2,3)*(d3,4)*(d4,5) =D3*D4*D5*D6*D7
15 d0,6 =(d0,1)*(d1,2)*(d2,3)*(d3,4)*(d4,5)*(d5,6) =D3*D4*D5*D6*D7*D8
16
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