Comp LinearSubtype of
The reference quantity r is interpolated according to the QuantLib CompoundedLinearDS method, whereby its discretely compounded transform R := m(eʳᐟᵐ-1) is linearly interpolated, i.e. according to
where m is a constant denoting the compounding frequency, where - for example, m = 1 means annual compounding and m = 2 means semiannual compounding.
Simple compounding with m = 0 is not supported.
When r represents the continuously compounded interest rate over a time period t, R represents the corresponding discretely compounded zero rate over the same period t.
This is derived from the fact that the interest accrued by r over t on a unit notional equals eʳᵗ-1, whereas that accrued by R equals (1+R/m)ᵗᵐ-1
Setting these two amounts equal to each other leads to the above definition of R