JHM Darbyshire
JHM Darbyshire
**Final iteration method of Newton algorithm** In equation (2.29) on the first line the first '+' operator should be replaced by a '-'. It is correctly expressed in the second...
This is of minor concern since there may be no remaining IBOR Indexes which have EOM priority (e.g. Legacy GBP)
The formula: $$ 1 + r_i^Z \approx \left(1 + \frac{R_i}{n} \right )^n $$ **is incorrect** and should be correctly written, assuming *n* is number of years and *R* is an...
The error here regards the roll-down calculation of the 3M. When 0.70 O/N rate is held constant the compounded up 3M rate is not 0.75% but is closer to 0.7005%....