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Finance

  

FloatingRateBond

  

create new floating-rate bond

 

Calling Sequence

Parameters

Options

Description

Examples

References

Compatibility

Calling Sequence

FloatingRateBond(redemptionvalue, maturity, timeunit, rate, spreads, options)

FloatingRateBond(redemptionvalue, maturitydate, rate, spreads, options)

Parameters

redemptionvalue

-

bonds redemption value

maturitydate

-

a date specified in a format recognized by the ParseDate command; maturity date

maturity

-

a nonnegative integer specifying the quantity of the time units

timeunit

-

Days, Weeks, Months, or Years; time units

rate

-

benchmark rate data structure; variable rate

spreads

-

a list or Vector of the spreads on the interest rate

opts

-

(optional) equation(s) of the form option = value where option is one of calendar, convention, frequency, daycounter, issuedate, or settlementdays; specify options for the FloatingRateBond command

Options

• 

calendar = a name representing a supported calendar (e.g. Toronto, NewYork) or a calendar data structure created using the Calendar constructor -- This option can be used to specify the underlying calendar.

• 

convention = Unadjusted, Preceding, ModifiedPreceding, Following, ModifiedFollowing, or MonthEndReference -- This option can be used to specify business day conventions. The default value is Following.

• 

daycounter = a name representing a supported day counter (e.g. ISDA, Simple) or a day counter data structure created using the DayCounter constructor -- This option provides a day counter that will be used to convert the period between two dates to a fraction of the year.

• 

frequency = Annual, Semiannual, EveryFourthMonth, Quarterly, Bimonthly, or Monthly -- This option specifies coupon frequency. The default value is Annual.

• 

issuedate = a string containing a date specification in a format recognized by ParseDate or a date data structure -- This option provides the issue date of a bond. It is set to the global evaluation date by default.

• 

settlementdays = positive integer -- This option specifies the number of settlement days. The default value is 1.

Description

• 

The FloatingRateBond commands creates a new floating-rate bond with the specified parameters. It is assumed that the face value of the bond is 100.0.

Examples

withFinance:

SetEvaluationDateJanuary 15, 2007:

Settingsdaycounter=Historical,businessdayconvention=Unadjusted,settlementdays=0

daycounter=Historical,businessdayconvention=Unadjusted,settlementdays=0

(1)

rateBenchmarkRate0.03

rate:=moduleend module

(2)

LoadHistoryrate,December 23, 2006,0.023,0.025,0.021,0.022,0.023,0.02,0.021,0.024,0.025,0.026,0.027,0.028

spreads0.001,0.0012,0.0014,0.0016

spreads:=0.0010.00120.00140.0016

(3)

bondFloatingRateBond100,5,Years,rate,spreads,issuedate=January 02, 2007:

Get the set of cash flows for your bonds.

CashFlowsbond

2.699979789 on 'January 2, 2008',3.120146310 on 'January 2, 2009',3.140123291 on 'January 2, 2010',3.160123291 on 'January 2, 2011',3.160099636 on 'January 2, 2012',100. on 'January 2, 2012'

(4)

Calculate the clean price and the dirty price for your bond using the fixed rate of 5% as the discount rate.

cleanpriceCleanPricebond,0.05

cleanprice:=91.08881737

(5)

dirtypriceDirtyPricebond,0.05

dirtyprice:=91.18498176

(6)

accruedAccruedAmountbond

accrued:=0.09616438356

(7)

Calculate the bond's yield using the previous discount rate.

YieldFromCleanPricebond,cleanprice

0.05000000002

(8)

YieldFromDirtyPricebond,dirtyprice

0.04999999999

(9)

Note that the face value is always 100.0 and the coupon payments are calculated based on this rate.

bond2FloatingRateBond120,5,Years,rate,spreads,issuedate=January 02, 2007:

Get the set of cash flows for your bonds.

CashFlowsbond2

2.699979789 on 'January 2, 2008',3.120146310 on 'January 2, 2009',3.140123291 on 'January 2, 2010',3.160123291 on 'January 2, 2011',3.160099636 on 'January 2, 2012',120. on 'January 2, 2012'

(10)

References

  

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

  

Glasserman, P., Monte Carlo Methods in Financial Engineering. New York: Springer-Verlag, 2004.

  

Hull, J., Options, Futures, and Other Derivatives, 5th. edition. Upper Saddle River, New Jersey: Prentice Hall, 2003.

Compatibility

• 

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

• 

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

See Also

Finance[CleanPrice]

Finance[DirtyPrice]

Finance[FixedCouponBond]

Finance[YieldFromCleanPrice]

Finance[YieldFromDirtyPrice]

Finance[ZeroCouponBond]

 


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