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Table Illustrating Annualisation Conventions

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See Annualisation Conventions for a further explanation of annualisation conventions. See MnRestateYieldOrDiscount for a Nematrian web service function that allows you to calculate the impact of different annualisation conventions for arbitrary interest rates.

 

Illustrative impact of different annualisation conventions, where amounts shown in columns 4, 5, 6 and 7 are amounts by which an investment of 1 will grow to after one year for the given interest / discount rate (with relevant annualisation convention):

 

Type of rate

Annualisation convention

Parameter used to code this quote basis

Amount after 1 year

Amount after 1 year

Amount after 1 year

Amount after 1 year

Rate equivalent to an annually compounded rate of 10% pa

 

 

 

-5% pa

1% pa

10% pa

30% pa

pa

‘interest’

annual

1

95.00

101.00

110.00

130.00

10.00%

‘interest’

semi-annual

2

95.06

101.00

110.25

132.25

9.76%

‘interest’

quarterly

4

95.09

101.00

110.38

133.55

9.65%

‘interest’

monthly

12

95.11

101.00

110.47

134.49

9.57%

‘interest’

weekly

52

95.12

101.00

110.51

134.87

9.54%

‘interest’

daily

365

95.12

101.01

110.52

134.97

9.53%

‘interest’ or ‘discount

continuous

0

95.12

101.01

110.52

134.99

9.53%

‘discount’

daily

-365

95.12

101.01

110.52

135.00

9.53%

‘discount’

weekly

-52

95.13

101.01

110.53

135.10

9.52%

‘discount’

monthly

-12

95.13

101.01

110.56

135.50

9.49%

‘discount’

quarterly

-4

95.15

101.01

110.66

136.59

9.42%

‘discount’

semi-annual

-2

95.18

101.01

110.80

138.41

9.31%

‘discount’

annual

-1

95.24

101.01

111.11

142.86

9.09%

 

 


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