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Schedules

In: Derivatives Algorithms Volume 1: Bones

Author

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  • Tom Hyer

Abstract

When we attempt to apply mathematical techniques to financial instruments, there is a constant tension between the “pure” mathematical regime – of continuously compounded rates, uniform daycounts, and so forth – and the idiosyncratic real world, with its profusion of entrenched conventions. This is particularly pronounced in fixed income, but is an issue for any underlying. The unifying goal of schedule code is to bridge this divide by providing to the mathematical side the tools to encapsulate these conventions and quarantine them so we can get on with our real work. We make no pretense that schedules are interesting, but they are crucial.

Suggested Citation

  • Tom Hyer, 2015. "Schedules," World Scientific Book Chapters, in: Derivatives Algorithms Volume 1: Bones, chapter 8, pages 147-172, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814699525_0008
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