Fixed-Income Discount Factor Matlab

The discount factor is the inverse of one plus the interest rate to the power of the time period.

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j = (1:1:5)';

P = [100.00; 99.50; 93.75; 89.45; 91];

CF = [105.0 0.0 0.0 0.0 0.0;
          5.5 105.5 0.0 0.0 0.0;
         4.0 4.0 104.0 0.0 0.0;
         3.5 3.5 3.5 103.5 0.0;
         4.5 4.5 4.5 4.5 104.5 ];

 D = inv(CF)*P;

 R = D.^(-1./j)-1

R =

    0.0500
    0.0579
    0.0639
    0.0662
    0.0672



 Strategic Asset Allocation in Fixed-Income Market A MATLAB-Based User’s Guide