On Sat, Aug 22, 2009 at 3:06 AM, Nathan Abbott<
[hidden email]> wrote:
> I'm wondering if someone could quickly point me in the right direction. As
> documented by the comments in the parRate method on the YieldTermStructure,
> one should use an instance of a swap and use its fairRate method to
> determine the par rate with all the appropriate settings. What about a
> deposit (say I want the fair rate on a deposit that has 6.5 months
> remaining)? What would be the easiest way to achieve that?
you would have to "do it by yourself". Take the discount ratio minus
one and divide by the 6.5 months as measured by the appropriate
daycounter
ciao -- Nando
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