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Finance

  

FairRate

  

return the fair rate of an interest rate swap

 

Calling Sequence

Parameters

Description

Examples

Compatibility

Calling Sequence

FairRate(swap, discountrate)

Parameters

swap

-

swap data structure; interest rate swap

discount

-

non-negative constant of a yield term structure; discount rate

Description

• 

The FairRate command returns the fair rate of the given interest rate swap.

Examples

withFinance:

SetEvaluationDateJanuary 02, 2007:

EvaluationDate

January 2, 2007

(1)

Consider two payment schedules. The first one consists of payments of 5% of the nominal every month between January 3, 2008 and January 3, 2018. The second one consists of payments of 3% of the nominal every quarter between January 3, 2010 and January 3, 2015.

Schedule1ScheduleJanuary 03, 2008,January 03, 2018,Monthly

Schedule1:=moduleend module

(2)

Schedule2ScheduleJanuary 03, 2010,January 03, 2015,Quarterly

Schedule2:=moduleend module

(3)

Rate10.05

Rate1:=0.05

(4)

Rate2BenchmarkRate0.03

Rate2:=moduleend module

(5)

Consider two simple swaps that exchange the first set of payments with the second set.

Swap1InterestRateSwap1000,Rate1,Schedule1,Rate2,Schedule2,0.03

Swap1:=moduleend module

(6)

Swap2InterestRateSwap1000,Rate2,Schedule2,Rate1,Schedule1,0.03

Swap2:=moduleend module

(7)

DiscountRate0.05

DiscountRate:=0.05

(8)

NetPresentValueSwap1,DiscountRate

146.0132438

(9)

NetPresentValueSwap2,DiscountRate

146.0132438

(10)

FairRate1FairRateSwap1,DiscountRate

FairRate1:=0.03045073683

(11)

FairRate2FairRateSwap2,DiscountRate

FairRate2:=0.03045073683

(12)

Consider the same simple swaps that use the fair rate.

Swap3InterestRateSwap1000,FairRate1,Schedule1,Rate2,Schedule2,0.03

Swap3:=moduleend module

(13)

Swap4InterestRateSwap1000,Rate2,Schedule2,FairRate2,Schedule1,0.03

Swap4:=moduleend module

(14)

NetPresentValueSwap3,DiscountRate

1.45117837710-8

(15)

NetPresentValueSwap4,DiscountRate

1.45117837710-8

(16)

Compatibility

• 

The Finance[FairRate] command was introduced in Maple 15.

• 

For more information on Maple 15 changes, see Updates in Maple 15.

See Also

Finance[CompoundFactor]

Finance[DiscountFactor]

Finance[FixedRateCoupon]

Finance[InArrearIndexedCoupon]

Finance[ParCoupon]

Finance[SimpleCashFlow]

Finance[UpFrontIndexedCoupon]

Finance[ZeroCurve]

 


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