FRM: Bootstrapping a discount function

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Bionic Turtle
Published at : 25 Sep 2021
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A discount function is a set of discount factors, where each discount factor is just a present value multiplier. For example, d(1.0) is the present value of $1 dollar received in one year. The key idea is that each d(x) can be solved as one variable under one equation because we already solved for shorter-term discount factors.

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