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Finance

  

FixedRateCoupon

  

construct a fixed rate coupon on a term structure

 

Calling Sequence

Parameters

Options

Description

Examples

Compatibility

Calling Sequence

FixedRateCoupon(nominal, rate, startdate, enddate, paymentdate, opts)

Parameters

nominal

-

non-negative constant; nominal value

rate

-

non-negative constant; coupon rate

startdate

-

a string containing a date specification in a format recognized by ParseDate or a date data structure; accrual start date

enddate

-

a string containing a date specification in a format recognized by ParseDate or a date data structure; accrual end date

paymentdate

-

a string containing a date specification in a format recognized by ParseDate or a date data structure; payment date

opts

-

equations of the form option = value where option is daycounter; specify options for the FixedRateCoupon command

Options

• 

daycounter = Actual360, Actual365Fixed, AFB, Bond, Euro, Historical, ISDA, ISMA, OneDay, Simple, Thirty360BondBasis, Thirty360EuroBondBasis, Thirty360European, Thirty360Italian, Thirty360USA, or a day counter data structure; convention used to convert the amount of time between two dates to year fractions

Description

• 

The FixedRateCoupon command constructs a coupon paying a fixed interest rate on the given date.

• 

The interest is accrued between startdate and enddate based on simple compounding.

• 

The optional parameter paymentdate can be used to specify when the accrued interest will be payed. By default paymentdate is equal to enddate.

Examples

withFinance:

First set the global evaluation date to January 1, 2005.

SetEvaluationDateJanuary 01, 2005:

EvaluationDate

January 1, 2005

(1)

Construct a coupon that pays the fixed rate of 5%. The accrual period starts on January 3, 2006 and ends on January 3, 2010.

nominal100

nominal:=100

(2)

rate0.05

rate:=0.05

(3)

paymentdateJan-03-2015

paymentdate:=Jan-03-2015

(4)

startdateJan-03-2006

startdate:=Jan-03-2006

(5)

enddateJan-03-2010

enddate:=Jan-03-2010

(6)

couponFixedRateCouponnominal,rate,startdate,enddate,paymentdate

coupon:=20. on January 3, 2015

(7)

Compute the value of this cash flow on January 3, 2005.

NetPresentValuecoupon,0.03

14.81392905

(8)

Here is another way to compute this. First, compute the accrued interest.

accruednominalCompoundFactorrate,enddate,referencedate=startdate,compounding='Simple'nominal

accrued:=20.0000000

(9)

This is the value to be received on January 3, 2010. You must discount this value using the discount rate.

accruedDiscountFactor0.03,paymentdate

14.81392905

(10)

This is the value of the same cash flow on January 3, 2004.

NetPresentValuecoupon,0.03,referencedate=Jan-03-2004

14.37846821

(11)

nominalCompoundFactorrate,enddate,referencedate=startdate,compounding='Simple'1DiscountFactor0.03,paymentdate,referencedate=Jan-03-2004

14.37846821

(12)

Calculate the net present value of the set of two cash flows.

rate20.07

rate2:=0.07

(13)

startdate2Jan-03-2007

startdate2:=Jan-03-2007

(14)

enddate2Jan-03-2010

enddate2:=Jan-03-2010

(15)

coupon2FixedRateCouponnominal,rate2,startdate2,enddate2,paymentdate

coupon2:=21.00000000 on January 3, 2015

(16)

NetPresentValuecoupon,coupon2,0.03

30.36855455

(17)

NetPresentValuecoupon,0.03+NetPresentValuecoupon2,0.03

30.36855455

(18)

Compatibility

• 

The Finance[FixedRateCoupon] 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[FixedCouponBond]

Finance[FloatingRateBond]

Finance[InArrearIndexedCoupon]

Finance[NetPresentValue]

Finance[ParCoupon]

Finance[ParseDate]

Finance[SimpleCashFlow]

Finance[UpFrontIndexedCoupon]

Finance[ZeroCouponBond]

Finance[ZeroCurve]

 


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