Note: In order to use the spreadsheet examples, you need to download Business Functions
|ZeroCoupon (CalculationDate, ParBaseDate, ParDates, ParYields, ParCoupFreqs, CurrentPrices, [RateType], [DCount], [BusDaySwitch], [Options])|
|Determines the Zero Coupon Discount factor using the Bootstrap method|
|The function returns the either the Zero Coupon spot rate or the Zero Coupon Discount Factor.|
|Auto Array Function|
Values for "Options" (or "Opts")
1 - Always Calculate Whole Curve. This is a performance optimization that you need to understand in order to use. The default behaviour of the function is only to use sufficient par dates and rates in order to construct the curve as far as the calculation date. Whilst this is efficient for making a few function calls at calculation dates near the start of the par rates, it does mean that the necessary part of the curve is calculated every time. If, however, you are making several function calls along the full length of the par rate curve, its best to calculate the whole curve the first time the function is called, and then get the function to use its internal cache of calculated rates for subsequent calls. Thats what this option does. Note that to get the very best performance, you should use this function as an array function (which always calculates the whole curve).
The Discount Factor is the factor by which you multiply a future value at CalculationDate to bring it back to ParBaseDate. This is quite a powerful function since it is calculating a bootstrapped zero coupon curve. For a less accurate way of working with spot and future rates see SpotToSpot and FutureToSpot.