Hi, I wonder if you could expand on what you mean by compounding on the Fixed side (presumably of an Interest Rate Swap)? The reason compoundingMethod is not permitted on the fixed leg is that the values of the method (other than ‘None’) relate to the treatment of the margin component (if any) of the accrued interest amount i.e. whether it is recognised as paid interest, or rolled into the notional amount for the following period. These considerations do not apply on the fixed leg, where interest amounts are pre-determined (known at inception of the trade). It is not common practice to specify a fixed leg with differing calculation (accrual) and payment period frequencies. The only sense in which we ordinarily understand compounding to apply to the fixed leg is in calculating the single payment amount at termination on a zero-coupon leg (please correct me here if you know otherwise). Best regards, Harry McAllister Chair, IRD-WG
