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Finance

  

InArrearIndexedCoupon

  

construct an in-arrear indexed coupon

 

Calling Sequence

Parameters

Description

Examples

Compatibility

Calling Sequence

InArrearIndexedCoupon(nominal, rate, startdate, enddate, paymentdate)

Parameters

nominal

-

non-negative constant; nominal value

rate

-

yield term structure or benchmark rate; 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

Description

• 

The InArrearIndexedCoupon command constructs an in-arrear indexed coupon.

• 

The interest is accrued between startdate and enddate.

• 

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:

SetEvaluationDateJanuary 2, 2005:

paymentdateJanuary 2, 2015

paymentdate:=January 2, 2015

(1)

startdateJanuary 2, 2006

startdate:=January 2, 2006

(2)

enddateJanuary 2, 2010

enddate:=January 2, 2010

(3)

rateBenchmarkRate6,Months,USDLIBOR,0.05:

couponInArrearIndexedCoupon100,rate,startdate,enddate,paymentdate

coupon:=20.26527080 on January 2, 2015

(4)

NetPresentValuecoupon,0.05

12.29150807

(5)

Compatibility

• 

The Finance[InArrearIndexedCoupon] 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[FixedRateCoupon]

Finance[FloatingRateBond]

Finance[NetPresentValue]

Finance[ParCoupon]

Finance[ParseDate]

Finance[SimpleCashFlow]

Finance[UpFrontIndexedCoupon]

Finance[ZeroCouponBond]

Finance[ZeroCurve]

 


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