The Compounding class abstracts the compounding regime used to discount or compound a spot rate.

Details

There are 3 compoundings:

  • simple for simple interest rate compounding $$1 + rt$$

  • discrete for compounded interest rate compounding $$(1 + r)^t$$

  • continuous for continuous interest rate compounding $$exp(rt)$$

The Compounding class has 2 methods:

  • compound to compound the spot rate for a given term.

  • rates to compute the implied rate for a compound factor in a given term.