Hi, am wondering if anyone can solve a mystery...Suppose today is 19 Feb 2016. And I have the CDI quote for Apr 2018 at 14.868 and Jul 2018 at 15.03. The respective terminal dates are 2 Apr 2018 and 2 Jul 2018, which are respectively 529 and 592 business days from today.The discount factor for 2 Apr 2018 is therefore (1+0.14868)^(-529/252) = 0.74753194, and for 2 Jul 2018 is (1+0.1503)^(-592/252)=0.71968447.Now, say I would like the discount factor for 8 Jun 2018, which is 576 from today. Under exponential interpolation, I should first find the interpolated rate for that day, call it r. r is then given by 1.014868*((1.1503/1.14868)^((576-529)/(592-529))-1=0.14988836. IF I feed this unrounded to (1+r)^(-576/252), I get 0.7267055. However, I see from Bloomberg that they have 0.726708, under the same interpolation scheme. Am wondering if anyone can see whether my calculation is correct, and can perhaps point me towards where I went wrong?Thanks very much.

QuoteOriginally posted by: quantericHi, am wondering if anyone can solve a mystery...Suppose today is 19 Feb 2016. And I have the CDI quote for Apr 2018 at 14.868 and Jul 2018 at 15.03. The respective terminal dates are 2 Apr 2018 and 2 Jul 2018, which are respectively 529 and 592 business days from today.The discount factor for 2 Apr 2018 is therefore (1+0.14868)^(-529/252) = 0.74753194, and for 2 Jul 2018 is (1+0.1503)^(-592/252)=0.71968447.Now, say I would like the discount factor for 8 Jun 2018, which is 576 from today. Under exponential interpolation, I should first find the interpolated rate for that day, call it r. r is then given by 1.014868*((1.1503/1.14868)^((576-529)/(592-529))-1=0.14988836. IF I feed this unrounded to (1+r)^(-576/252), I get 0.7267055. However, I see from Bloomberg that they have 0.726708, under the same interpolation scheme. Am wondering if anyone can see whether my calculation is correct, and can perhaps point me towards where I went wrong?Thanks very much.HiCareful here - Bloomberg has a BRL specific user setting for interpolation.Using:ICVS 304 <GO>select actions then user preferences, you'll see how your Bloomberg is set up to interpolate BRL curves.Herr KartoffelKopf

There's a good book now available about brazilian derivativesThe amazon link is belowhttp://www.amazon.com/Brazilian-Derivatives-Se ... 7261Kindle version available now, hardcover will be available within 1 month I thinkEnjoy