compounding in QuantLib

Posted by Jicun Zhong on
URL: http://quantlib.414.s1.nabble.com/compounding-in-QuantLib-tp622.html

Hi,

   When one set floating index fixing, depo rate, swap rate etc. in order to build a yield curve etc. what compounding does QuantLib assume on these rate numbers? It seems that when the curve is built then everything is converted to continuous compounding so return a rate from the curve is assumed to be continuous compounding. Also discounting, forward casting etc. based on the curve is also using continuous compounding. Could someone please clarify all these issues or point to a proper documentation.

   Thanks!

 

Jicun

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