胖胖 · 2023年10月11日

interest rates discounting in both Fixed Income and Derivative

For interest rates discounting in both Fixed Income and Derivatives topics

when do we use (1+rf)^(T)

and then do we use (1+rf x 90/360) as simple interest

Is this only for when the question uses Libor/MRR

Can you briefly explain the difference between the two methods as well and why do we use each one in each scenario?

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李坏_品职助教 · 2023年10月11日

嗨，从没放弃的小努力你好：

关于天数的问题，可以参考李斯克老师的讲述：https://www.zhihu.com/question/23351169/answer/2634170546?utm_id=0

至于单利和复利的选择：如果题目没有明确要求，可以采用以下办法：一年以上使用复利，一年以下单利。

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胖胖 · 2023年10月11日

Sorry adding a second part to the question: when do you use 365 and when do you use 360 days?

Can we generalize that

360 days is always simple interest

and 365 is continuously compounded interest