MNB has received daily, transaction-level data on key Hungarian interest rate derivatives markets since the beginning of 2009 with the launching of the K14 report. The dataset that has accumulated since early 2009 provides an opportunity to better comprehend the structure and functioning of...

In this paper we illustrate and explain the relationship between interest rates (or forward rates) and discount factors. We present the forward-discount factor relationship, which is popular and widely used in financial markets for yield curve construction, and derive the exact formulae using a...