Comp LinearSubtype of
The reference quantity v is interpolated according to the QuantLib CompoundedLinearDS method, whereby its discretely compounded transform R := m(eᵛᐟᵐ-1) is linearly interpolated, i.e. according to
where m is a constant denoting the compounding frequency, with - for example, m = 1 meaning annual compounding and m = 2 means semiannual compounding.
Simple compounding with m = 0 is not supported.
The constant m is specified in the object mentioned below.
When v 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 v over t on a unit notional equals eᵛᵗ-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
This method supports several specifications optionally supplied through an object of type
If the latter object is omitted, the default is assumed.