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Is there a way to specify the compounding frequency on a single currency, fixed float interest rate swap or is it implicitly specified On the float stream, for a USD 3 Month Libor index, I am specifying the Payment Frequency on float leg as 6 months. Where can I specify that the compounding is quarterly? Regards, Dhiraj
Compounding is expressed by comparing the calculation frequency against the payment frequency. Calculation frequency: … calculationPeriodFrequency> periodMultiplier>3/periodMultiplier> period>M/period> rollConvention>27/rollConvention> /calculationPeriodFrequency> … Payment frequency: … paymentFrequency> periodMultiplier>6/periodMultiplier> period>M/period> /paymentFrequency> … So there is compounding since we calculate every three months but pay every six.
