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Please help with the discount factor estimation please, thanks 5. [5 points] 3-month Futures is another liquid instrument that we can use to bootstrap a
Please help with the discount factor estimation please, thanks
5. [5 points] 3-month Futures is another liquid instrument that we can use to bootstrap a zero curve. Suppose 3-month HIBOR from 21 June 2022 to 21 September 2022 is 3.19\% 3-month HIBOR Futures price for the September contract is 96.75 Futures contract expiry is 21 September 2022 ( 3rd Wednesday of September). Assume the discount factor on 21 June 2022 is 0.9996 . Estimate the discount factor (4 decimal points) on 21 December 2022 (also 3rd Wednesday of December). Assume 365 year basisStep by Step Solution
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