I know exp(delta)=1+i,but I never thought of nominal delta. Is this question mean (exp(pthly delta/p*p))=1+i?
Hi, It's not a "nominal" delta as such. Although delta is typically given as a per annum figure, it could be specified over any period. When you have a monthly delta then the one-month accumulation factor is exp(monthly delta). The one year accumulation factor is exp(monthly delta * 12). So just as you take a one-year delta and scale up/down by using exp(delta*t), you can do the same with the monthly one. Hope this helps. Joe
