fyyying/dynamic_maturity.md

Last active May 31, 2020 17:17

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dynamic_maturity.md

$df_{t} = \frac{1}{(1 + r_{t})^{m_{t}}}$
$m_{t} = \frac{(Date_{d} - Date_{t})}{365.25}$
$df_{t}:\discount \factor \at \t$
$r_{t}:\spot \rate \at \at \t$
$m_{t}:\maturity \at \t$
$Date_{d}:\Date \due$
$Date_{t}:\Date \at \t$

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