i'm trying to compute zero rates for malaysian klibor which pays quarterly coupon. i'm using the forward substitution method, as per formula below, but when i compare the zero rates to murex, the numbers get gradually worse with increasing tenor -- reaching differences of several percent for zero rates in the 15 yr tenor. what am i doing wrong here?
(D_n = [1-(r/4)\times\sum_{i=1/4}^{i=n-1/4}D_i] / (1+r/4))
E, F, G
rates, t, DF, DF Formula
3.673129893,0.25,0.9909254,'=1/(1+F43*E43/100)
3.695923196,0.50,0.9820021,'=1/(1+F44*E44/100)
3.71782616,0.75,0.9729450,'=1/(1+F45*E45/100)
0.916911484,1.00,0.9641486,'=(100-E46*SUM(G43:G45))/(100+E46)
0.958632695,1.25,0.9533779,'=(100-E47*SUM(G43:G46))/(100+E47)
0.958632695,1.50,0.9443253,'=(100-E48*SUM(G43:G47))/(100+E48)
0.958632695,1.75,0.9353586,'=(100-E49*SUM(G43:G48))/(100+E49)
0.958632695,2.00,0.9264771,'=(100-E50*SUM($G$43:G49))/(100+E50)
here are the rates:
DEPOSIT,o/n,3.504831723,
DEPOSIT,t/n,3.502331963,
MYR KLIBOR,1m,3.604654913,
MYR KLIBOR,2m,3.628793086,
MYR KLIBOR,3m,3.673129893,
MYR KLIBOR,6m,3.695923196,
MYR KLIBOR,9m,3.71782616,
MYR KLIBOR 3M,1Y,3.667645934,
MYR KLIBOR 3M,2Y,3.834530781,
