Hi all,
I am looking for a zero-coupon rate from a termstructure. I have been
thinking of the following (assuming annual compounding):
given Time t and df at t
up-to compounding i.e t <= 1.0
zc = ((1.0/df)-1.0)/t
above compounding
zc = pow(1.0/df,1.0/t)-1.0
Can I go ahead and implement this in termstructure.hpp?
André Louw
Decillion Limited - "Your Risk Is Our Domain"
Email:
[hidden email]
Office: +27 (11) 328 1256
Mobile: +27 (83) 414 5785
Fax: +27 (11) 442 4456
-------------------------------------------------------------------------
This e-mail is intended only for the use of the individual or entity named
above and may contain information that is confidential and privileged,
proprietary to the company and protected by law. If you are not the intended
recipient, you are hereby notified that any dissemination, distribution or
copying of this e-mail is strictly prohibited. Opinions, conclusions and
other information in this message that do not relate to the official
business of our company shall be understood as neither given nor endorsed by
it.
Locked
