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Finance

  

BenchmarkRate

  

create a benchmark rate

 

Calling Sequence

Parameters

Description

Examples

Compatibility

Calling Sequence

BenchmarkRate(forecast, opts)

BenchmarkRate(tenor, units, familyname, forecast)

Parameters

tenor

-

positive integer; length of the tenor

units

-

Days, Weeks, Months, or Years; time units

familyname

-

family name; can be one of the following: AUDLIBOR, CADLIBOR, CDOR, CHFLIBOR, DKKLIBOR, EURIBOR, GBPLIBOR, JIBAR, JPYLIBOR, NZDLIBOR, TIBOR, TRLIBOR, USDLIBOR, ZIBOR

forecast

-

yield term structure; forecasted rate or term structure

Description

• 

The BenchmarkRate(forecast, opts) calling sequence creates a new benchmark rate with the specified calendar, day count and business day conventions.

• 

The BenchmarkRate(tenor, units, familyname, forecast) command creates one of the standard benchmark rates (e.g. one of the LIBOR rates). In this case standard market calendar, day count and business day conventions will be used.

• 

The parameter tenor is the length of the tenor. The parameter units specifies time units for the tenor. The parameter familyname is the family name for the benchmark index.

• 

The parameter forecast is the forecasted rate. For dates preceding the global evaluation date historic data can be used (see the LoadHistory command). Otherwise the forecasted interest rate is used.

Examples

withFinance:

SetEvaluationDateJanuary 15, 2005:

Set defaults assumed by the USDLIBOR rate.

Settingscalendar=NewYork,compounding=Simple,settlementdays=2,daycounter=Actual360,businessdayconvention=ModifiedFollowing

calendar=Null,compounding=Continuous,settlementdays=0,daycounter=Historical,businessdayconvention=Unadjusted

(1)

Create a 6-month USD LIBOR rate and use float rate of 7% as forecast.

benchmarkBenchmarkRate6,Months,USDLIBOR,ForwardCurve0.07,compounding=Continuous

benchmark:=moduleend module

(2)

This will throw an error since not historic data is available to the given benchmark rate. On the other hand, the forecasted interest rate is used only for dates after the global evaluation date.

benchmarkJanuary 11, 2005

Error, (in call_proc) USDLibor6m act/360 history not loaded

Load history for this rate.

LoadHistorybenchmark,January 08, 2005,0.01,0.02,0.03,0.04,0.05,0.06,0.07:

Note that historic data is used only for dates preceding the global evaluation date. Otherwise the forecasted interest rate is used.

benchmarkJanuary 11, 2005

0.04000000000

(3)

benchmarkJanuary 10, 2005

0.03000000000

(4)

benchmarkJanuary 14, 2005

0.07000000000

(5)

benchmarkJanuary 16, 2005

0.07124638451

(6)

ratebenchmarkJanuary 17, 2005

rate:=0.07124638451

(7)

fixingdateAdvanceDateJan-17-2005,2,Days

fixingdate:=Jan-19-2005

(8)

maturitydateAdvanceDatefixingdate,6,Months

maturitydate:=Jul-19-2005

(9)

EquivalentRate0.07,Continuous,Simple,fixingdate,maturitydate

0.07124638451

(10)

Compatibility

• 

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

• 

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

See Also

Finance[Calendar]

Finance[DayCounter]

Finance[DiscountCurve]

Finance[EquivalentRate]

Finance[ForwardCurve]

Finance[ForwardRate]

Finance[ImpliedRate]

Finance[ParRate]

Finance[ZeroCurve]

 


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