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Cash Curve

All of the supplied cash rates are converted to equivalent Actual/365 (compound) rates, using the following steps:

Step

Definition

 

.

 

1

Adjust the input rate for the assumed number of days in the period (based on the input cash rate accrual basis). The output rate days in period is assumed to be "Actual".

 

2

Adjust the input rate for the assumed number of days in the year (based on the input cash rate accrual basis). The output rate days in year is assumed to be "365".

 

3

Adjust the input rate from a simple interest basis to an annual equivalent compounding basis.

 

4

Determine an appropriate rate and discount factor to span each period between the construction (value) date and the maturity date of each rate. This incorporates any offset between the construction date and the effective date for each rate.

 

 

 

 

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