标题: Dividing, powering or e? [打印本页] 作者: bchadwick 时间: 2011-7-13 13:05 标题: Dividing, powering or e?
So is there any rules for how to adjust interest rates?
For example, when you deal with interest rate parity for a six month period, you go (1+i)^t, I notice for bond questions, we usually go (1+i/t) and for commodity futures we go e^t*i
Does that sound about right to you guys or are there instances where this is not the case?作者: liangfeng 时间: 2011-7-13 13:05
thanks, janak.
It all depends on how r is defined: continuously compounding, LIBOR 30/360, or annually compounding(annual rate)...It not specified, r is the annual rate.
Just saw "discrete risk-free rate" a few days back.
