Serving the Quantitative Finance Community
Linear/Exponential Accruals!!!!!
Hi, Is this correct??? (wrt yield curve)1) with a swap.....Accrual Convention is linear below 1 year and exponential after one year (Zero coupon).2) If yes....How about an OIS?
Last edited by Adoniz on October 4th, 2011, 10:00 pm, edited 1 time in total.