标题: is it just me or...? [打印本页] 作者: SkipE99 时间: 2011-7-11 19:38 标题: is it just me or...?
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.作者: mengxu 时间: 2011-7-11 19:38
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作者: bbtomato 时间: 2011-7-11 19:38
Same thing with some of the Quant material. I use six decimals. It may be overkill, but I'll never be that far off.
