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Finance

  

ImpliedRate

  

calculate an interest rate implied by the given compound factor

 

Calling Sequence

Parameters

Options

Description

Examples

References

Compatibility

Calling Sequence

ImpliedRate(compound, interval, compounding)

ImpliedRate(compound, startdate, enddate, compounding, opts)

Parameters

compound

-

non-negative constant, list(non-negative), or Vector greater or equal to 1; compound factor

interval

-

non-negative constant, list(non-negative), or Vector; length of the compounding interval in years

compounding

-

Annual, Bimonthly, Continuous, EveryFourthMonth, Monthly, Quarterly, Semiannual, Simple, SimpleThenAnnual, SimpleThenBimonthly, SimpleThenEveryFourthMonth, SimpleThenMonthly, SimpleThenQuarterly, or SimpleThenSemiannual; compounding type for the desired interest rate

startdate

-

a string containing a date specification in a format recognized by ParseDate or a date data structure; start of the compounding interval

enddate

-

a string containing a date specification in a format recognized by ParseDate or a date data structure; end of the compounding interval

opts

-

equation of the form option = value where option is daycounter; specify options for the ImpliedRate command

Options

• 

daycounter = Actual360, Actual365Fixed, AFB, Bond, Euro, Historical, ISDA, ISMA, OneDay, Simple, Thirty360BondBasis, Thirty360EuroBondBasis, Thirty360European, Thirty360Italian, Thirty360USA, or a day counter data structure -- This option specifies the convention used to convert the duration between two dates to year fractions.

Description

• 

The ImpliedRate(compound, interval, compounding) calling sequence calculates an interest rate implied by the given compound factor, for the specified compounding interval and compounding type. The parameter compound is the compound factor; it should be a constant greater than or equal to 1. The parameter interval is the length of the compounding period.   These can also be entered as lists, in which case an array of their combinations is returned.  Alternatively, one can specify the compounding interval by giving the start date, end date and a day count convention. The compounding parameter is the compounding type.

Examples

withFinance:

rate10.06:

compound1CompoundFactorrate1,1.0,compounding=Monthly

compound1:=1.061677812

(1)

rate2ImpliedRatecompound1,1.0,Monthly

rate2:=0.06000000013

(2)

cmpdlist1.2,1.05,1.8:

timelist0.2,2.5,3.2:

ratelistImpliedRatecmpdlist,timelist,Monthly

ratelist:=0.9471277103855850.07315067999935910.05711095940567730.2464473766291950.01953194414199810.01525661660500793.330093011687020.2374330703761750.185096348508025

(3)

rate3ZeroCurve0.05,referencedate=January 2, 2005

rate3:=moduleend module

(4)

compound3CompoundFactorrate3,January 2, 2006

compound3:=1.051271096

(5)

ImpliedRatecompound3,January 2, 2005,January 2, 2006,Continuous

0.04999999964

(6)

ImpliedRatecompound3,January 2, 2005,January 2, 2006,Monthly

0.05010431113

(7)

ImpliedRatecompound3,January 2, 2005,July 5, 2005,Simple,daycounter=Historical

0.1017062502

(8)

ImpliedRatecompound3,January 2, 2005,July 5, 2005,Simple,daycounter=Thirty360USA

0.1008611725

(9)

References

  

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

  

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

  

Kellison, S.G., Theory of Interest, 2nd edition, Irwin: McGraw-Hill, 1991.

Compatibility

• 

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

• 

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

See Also

Finance[CompoundFactor]

Finance[DiscountCurve]

Finance[DiscountFactor]

Finance[EquivalentRate]

Finance[ForwardCurve]

Finance[ForwardRate]

Finance[ParRate]

Finance[ZeroCurve]

 


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