construct a coupon at par on a term structure - Maple Help

Online Help

All Products    Maple    MapleSim


Home : Support : Online Help : Mathematics : Finance : Cash Flow Analysis : Finance/ParCoupon

Finance[ParCoupon] - construct a coupon at par on a term structure

Calling Sequence

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

Parameters

nominal

-

non-negative constant; nominal value

rate

-

non-negative constant, 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 ParCoupon command constructs a coupon at par on a term structure.

• 

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 1, 2005:

EvaluationDate

January 1, 2005

(1)

paymentdate:=January 1, 2015

paymentdate:=January 1, 2015

(2)

startdate:=January 1, 2006

startdate:=January 1, 2006

(3)

enddate:=January 1, 2010

enddate:=January 1, 2010

(4)

rate:=BenchmarkRate6,Months,USDLIBOR,0.05

rate:=moduleend module

(5)

coupon:=ParCoupon100,rate,startdate,enddate,paymentdate

coupon:=22.15700851 on January 1, 2015

(6)

FormatDatecoupondate

January 1, 2015

(7)

couponamount

22.15700851

(8)

NetPresentValuecoupon,0.05

13.43890499

(9)

See Also

Finance[CompoundFactor], Finance[DiscountFactor], Finance[FixedCouponBond], Finance[FixedRateCoupon], Finance[FloatingRateBond], Finance[InArrearIndexedCoupon], Finance[NetPresentValue], Finance[ParseDate], Finance[SimpleCashFlow], Finance[UpFrontIndexedCoupon], Finance[ZeroCurve]


Download Help Document

Was this information helpful?



Please add your Comment (Optional)
E-mail Address (Optional)
What is ? This question helps us to combat spam