Multiple Spread

Key Multiple Spread in Yield Curve Tnb refers to an optional boolean that determines how the provided spread is used to determine the accrual interest.
Default is FALSE because it corresponds to the Flat Compounding convention, whereby the amount of interest attributable to spread is calculated by multiplying the spread with the whole coupon accrual period.
When TRUE, the spread is used repetitively in determining the amount of interest accrued in each sub-period and the total accrued interest is afterward computed by combining these amounts.

For example, assume a coupon accrual period t consisting of two consecutive sub-periods of lengths t₁ and t₂
We are also given a spread s and the rates (index fixings) r₁ and r₂ that are responsible for the interest accruing over t₁ and t₂ respectively.
In the FALSE case and assuming a unit notional, the total amount of interest I accruing over t can be written as:
I = Iᵣ + Iₛ
where the part Iᵣ is generated by the rates r₁ and r₂ and equals either (1 + r₁t₁)(1 + r₂t₂) - 1 or r₁t₁ + r₂t₂ depending on the compounding convention and
the part Iₛ is generated by the spread s and equals st.
In the TRUE case, the total amount of interest I can be written as:
(1 + (r₁+s)t₁)(1 + (r₂+s)t₂) - 1 or (r₁+s)t₁ + (r₂+s)t₂ depending on the compounding convention.
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