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Finance[DiscountBondPrice] - calculate a discount bond price

Calling Sequence

DiscountBondPrice(model, rate, maturity, opts)

Parameters

model

-

affine one-factor model of interest rates

rate

-

the given interest rate

maturity

-

non-negative constant or a list of non-negative constants; time(s) to maturity

opts

-

equations of the form option = value where option is output; specify options for the DiscountBondPrice command

Description

• 

The DiscountBondPrice command calculates the discount bond price in the given affine interest rate model.

Examples

withFinance:

M:=VasicekModel0.05,0.03,0.5,0.03

M:=moduleend module

(1)

X:=ShortRateProcessM

X:=_X

(2)

T:=seq0.6i,i=0..50

T:=0.,0.6,1.2,1.8,2.4,3.0,3.6,4.2,4.8,5.4,6.0,6.6,7.2,7.8,8.4,9.0,9.6,10.2,10.8,11.4,12.0,12.6,13.2,13.8,14.4,15.0,15.6,16.2,16.8,17.4,18.0,18.6,19.2,19.8,20.4,21.0,21.6,22.2,22.8,23.4,24.0,24.6,25.2,25.8,26.4,27.0,27.6,28.2,28.8,29.4,30.0

(3)

S:=SamplePathXt,t=0..1,timesteps=50

S:= 1..1 x 1..51 ArrayData Type: float8Storage: rectangularOrder: C_order

(4)

PathPlotS,thickness=3,axes=BOXED,gridlines=true

P:=seqStatistics[LineChart]DiscountBondPriceM,S1,i,T,output=zerorate,xcoords=T,axes=BOXED,thickness=3,markers=false,i=1..51:

plots[display]P,insequence=true

See Also

Finance[BondOptionPrice], Finance[CompoundFactor], Finance[DiscountFactor], Finance[HullWhiteModel], Finance[ImpliedRate], Finance[VasicekModel], Finance[ZeroCurve]

References

  

Brigo, D., Mercurio, F., Interest Rate Models: Theory and Practice. New York: Springer-Verlag, 2001.


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