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

non-linear rates.

April 10th, 2012, 8:46 pm

What are these? Most common payoffs and pricing models.CheersSerp
 
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MCarreira
Posts: 1724
Joined: July 14th, 2002, 3:00 am

non-linear rates.

April 10th, 2012, 8:49 pm

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 ?
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