RE: [Quantlib-dev] decreasing discount factors

[Andre L. <An...@de...>]

Hi,

Just my penny's worth. 

Using the discount factor formula, if the change in rates is big enough
relative to the time period, it is quite possible for the discount factors
to increase!

E.g:
			
			Rate	Days		Df
		3M	2.30	90/365	0.99436
		6M	1.10	180/365	0.99460

This is unlikely but of course not impossible - never ASS-U-ME, it makes an
ASS out of U and ME!
 
Thanx

Andre
 
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