Compounding-class: Compounding class

In fixedincome: Fixed Income Models, Calculations, Data Structures and Instruments

Compounding class

Description

The Compounding class abstracts the compounding regime used to discount or compound a spot rate.

Details

There are 3 compoundings:

• simple for simple interest rate compounding

  1 + rt

• discrete for compounded interest rate compounding

  (1 + r)^t

• continuous for continuous interest rate compounding

  exp(rt)

The Compounding class has 2 methods:

• compound to compound the spot rate for a given term.

• rates to compute the implied rate for a compound factor in a given term.

fixedincome documentation built on July 9, 2023, 7:28 p.m.