Using Discount Factors and Reference Dates to Read Zero Curves

Summary

The document addresses how to interpret a zero rate shown on a Bloomberg curve display when a calculation from nearby quoted rates does not match. One answer recommends working from the displayed discount factors directly and interpolating them to the maturity needed, rather than trying to reconstruct the rate from the limited figures in the question. The other answer suggests that the calculation may depend on an interpolation assumption for an intermediate point, such as a one-month value inferred from a six-month forward rate agreement.

A key operational detail is that the discount factor of one is anchored at the curve’s settlement date, which serves as the reference date. This affects how maturities and discounting should be interpreted. The exchange does not resolve the exact displayed rate because the screenshot context and interpolation conventions are incomplete. Its guidance is therefore to inspect the curve inputs, reference date, and interpolation method before expecting a rate derived from a simplified calculation to match Bloomberg’s output.

Key ideas

• Displayed discount factors can be interpolated to obtain values for specific maturities.
• The curve’s settlement date is the reference date at which its discount factor equals one.
• A zero rate calculation may depend on the interpolation assumption used for missing maturities.
• The discussion lacks enough curve context to establish the exact source of the displayed rate.

Tags

# bootstrapping bloomberg


# bootstrapping bloomberg












Does anyone know the zero rate here at -0.23022 is derived? I have tried (1+0.0056*0.503)*(1+-0.00232*0.086)=(1+?^(1/0.589). Solving for ? gives me -0.002344. I have tried simple and compounded interest. I cannot get this to match. can anyone provide clues?

## Answer by Antoine Conze (score 1)

https://quant.stackexchange.com/a/43605

This is not exactly an answer to your question, but I have found that for practical purpose it is best to use directly the discount factors (last column on the screen), which you can export to Excel and interpolate according to your prefered method for specific maturities.

Beware that the curve reference date (the date for which the discount factor is 1) is the Settle Date (3rd field on the upper left of the screen).

## Answer by Randor (score 0)

https://quant.stackexchange.com/a/60911

can you add to your screenshot a bit further to the left? i am guessing that 2nd row is a 6m fra, in which case to work out the discount factor, you probably need an interpolation assumption as to how the 1m is gotten

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