Hey guys, I know this is level 1 revision stuff…. but I’ve been getting so frustrated messing this up when doing calculations….
so the discount rates for swaps are discrete (just times or divide)
and discount rates for futures and forwards are continuous (take the power)
Is that right? I can’t think of anymore off the top of my head, but I’m trying to make a list of all that use the discrete and continuous rates.作者: sameeragarwal 时间: 2013-3-31 13:04
One place I can remember is, that if you have dividends on index, then you have to compute the dividend yield on index as a continuous,
F = S - Pv (e^dc) (1+r)^t
