标题: Swap fixed rate calculation discount factors [打印本页]

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作者: kkn006    时间: 2013-4-5 22:53     标题: Swap fixed rate calculation discount factors

Page # 305 1. A.
If we are discounting should we not use the exponential discounting?
B0(720) = 1/[1+0.0665(720/360)] = 1/[1+0.0665 * 2]
Why is this not B0(720) = 1/[1+0.0665]^2
Any thoughts?

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