libor
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LIBOR, day count convention and compunding frequency
Hi David, In your notes, you say that LIBOR is quoted on an actual/360 basis. But when using the LIBOR rate as a proxy for the spot rate it is continuously compounding. Doesn't actual/360 imply simple interest (no compunding)? I just do not see how these two methodologies are compatible...- wrongsaidfred
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- compounding-frequencies day-count-conventions libor
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- Forum: P1.T3. Financial Markets & Products