swapbyzero using different RateSpec with compounding

4 次查看（过去 30 天）
JW
JW 2017-3-24
评论： Anoop Somashekar 2017-3-31
I've been using the swapbyzero function to do some swap pricing. I've come across an issue where if I use a RateSpec that is continuously compounded, and convert that to a RateSpec that is compounded annually (once per year), I get slightly different price outputs between the continuously compounded vs annual compounding rate spec (~10^-6). Is this due to a rounding error? I just want to make sure there's not some fundamental issue with using a continuously compounded vs annual RateSpec in the swapbyzero function.

请先登录，再回答此问题。

回答（0 个）

类别

在 Help Center 和 File Exchange 中查找有关 Financial Toolbox 的更多信息

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by