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oMM_ConvertDR( ) Example

Description

Consider a money market instrument, with a maturity of September 4 2003 and an accrual basis of actual/360. If the yield on March 8 2003 is 5.95%, then the discount rate is calculated as follows:

 

 

Function Specification

=oMM_ConvertDR(0.0595, "8/3/03", "4/9/03", 1)

 

 

Solution

The discount rate of the instrument is calculated as follows:

Equation Template

where:
y = 5.95%
DIP = 180 (4/9/03 - 8/3/03)
DIY = 360

 

 

For further details on how the above yield is calculated, see the money market formula.

 

 

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