Login  Register

Re: Deferred and compounded swaps

Posted by Luigi Ballabio-2 on Mar 18, 2004; 6:27am
URL: http://quantlib.414.s1.nabble.com/Deferred-and-compounded-swaps-tp10492p10493.html

On 2004.03.09 05:19, Andre Louw wrote:
> I have some deferred and compounded swaps, i.e a number of coupons  
> all paying at some common, future date with interest earned on these
> compounded by each following coupon until the payment date.

Andre,
        I'm not sure I follow. Do you have any formulas?

Later,
        Luigi