SERVING THE QUANTITATIVE FINANCE COMMUNITY

SierpinskyJanitor
Topic Author
Posts: 1069
Joined: March 29th, 2005, 12:55 pm

### non-linear rates.

What are these? Most common payoffs and pricing models.CheersSerp

MCarreira
Posts: 1724
Joined: July 14th, 2002, 3:00 am

### non-linear rates.

You mean like Brazil ? Where dfs are of the form (1+rate)^(-businessdays/252) and floating legs are the inverse of the product of the daily discount factors using an overnight rate ?