swapbyzero using different RateSpec with compounding

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JW
JW 2017 年 3 月 24 日
コメント済み: Anoop Somashekar 2017 年 3 月 31 日
I've been using the swapbyzero function to do some swap pricing. I've come across an issue where if I use a RateSpec that is continuously compounded, and convert that to a RateSpec that is compounded annually (once per year), I get slightly different price outputs between the continuously compounded vs annual compounding rate spec (~10^-6). Is this due to a rounding error? I just want to make sure there's not some fundamental issue with using a continuously compounded vs annual RateSpec in the swapbyzero function.
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Anoop Somashekar
Anoop Somashekar 2017 年 3 月 31 日
Can you provide an example to recreate the issue? Which matlab version are you using?

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