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swapbyzero using different RateSpec with compounding

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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.

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