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I think that if you have a daily return, you can convert daily to monthly and yearly, a few examples as below. Yearly Return = ((1+Daily_return)^365)-1 Monthly Return = ((1+Daily_return)^30)-1 Yearly Return = ((1+Monthly_return)^12)-1


The data stored in the object is adjusted such that compounding is Continuous and frequency is NoFrequency. The C++ source code is available here: zerocurve.hpp. I think that the reason for this is that a ZeroCurve object then won't have to store compounding and frequency. We can validate the new rates by using the equation $$e^{r_{cont}t}=(1+r_{comp})^t$$ ...

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