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SkipE99

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tT
发表于 2011-7-11 19:38 | 只看该作者

is it just me or...?

difference, different, through, error
am working through swaps (vol 6, p270- p275). why are my results different from the book? I KNOW a rounding error of 0.0002 may not sound like much, but on $100m nominal, the answer makes a huge difference.

 

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mengxu

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发表于 2011-7-11 19:38 | 只看该作者
ya gotta use 4 decimals in almost every step of the calculation
slight rounding error for even the third decimal could lead to huge swap values

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bbtomato

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发表于 2011-7-11 19:38 | 只看该作者
Same thing with some of the Quant material. I use six decimals. It may be overkill, but I'll never be that far off.

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