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Finance

  

DiscountFactor

  

return a discount factor for the specified date or time

 

Calling Sequence

Parameters

Options

Description

Examples

Compatibility

Calling Sequence

DiscountFactor(rate, time, opts)

DiscountFactor(rate, date, opts)

Parameters

rate

-

real constant, list(realcons), Vector, or a yield term structure; given interest rate

time

-

non-negative real number, list(non-negative), or Vector; time in years

date

-

a string containing a date specification in a format recognized by ParseDate or a date data structure; date

opts

-

equations of the form option = value where option is one of referencedate, compounding, or daycounter; specify options for the DiscountFactor command

Options

• 

compounding = Simple, Continuous, Annual, Semiannual, EveryFourthMonth, Quarterly, Bimonthly, Monthly, SimpleThenAnnual, SimpleThenSemiannual, SimpleThenEveryFourthMonth, SimpleThenQuarterly, SimpleThenBimonthly, or SimpleThenMonthly -- This option specifies the compounding type for the given interest rate.

• 

daycounter = Actual360, Actual365Fixed, AFB, Bond, Euro, Historical, ISDA, ISMA, OneDay, Simple, Thirty360BondBasis, Thirty360EuroBondBasis, Thirty360European, Thirty360Italian, Thirty360USA, 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. The default day count convention can be set using the Settings command.

• 

referencedate =  a string containing a date specification in a format recognized by ParseDate or a date data structure -- This option specifies the reference date, that is, the date when the discount factor is equal to 1.

Description

• 

The DiscountFactor(rate, time, opts) calling sequence computes the discount factor at the specified time corresponding to the given interest rate.  The interest rate and time can be given as lists in which case the array or their combinations are returned.

• 

The DiscountFactor(rate, date, opts) calling sequence computes the discount factor on the specified date corresponding to the given interest rate. The value of the daycounter option is used to compute the distance between date and the reference date (which is set to the global evaluation date by default).

Examples

withFinance:

rate10.06:

discount1DiscountFactorrate1,1.0,compounding=Monthly

discount1:=0.9419053397

(1)

rate2ImpliedRate1discount1,1.0,Monthly

rate2:=0.06000000013

(2)

cmpdlist1.2,1.05,1.8:

timelist0.2,2.5,3.2:

cflistDiscountFactorcmpdlist,timelist,compounding=Monthly

cflist:=0.7955318203769980.05730855330116790.02573480547994130.8176543705553860.08074618848471590.03991316798447360.7150315140247190.01510305449388470.00466877484657962

(3)

DiscountFactorrate1,January 02, 2006,compounding=Monthly,daycounter=Actual365Fixed,referencedate=January 02, 2005

0.9419053397

(4)

rate3ZeroCurve0.05,referencedate=January 02, 2005

rate3:=moduleend module

(5)

discount3DiscountFactorrate3,January 02, 2006

discount3:=0.9512294245

(6)

ImpliedRate1discount3,January 02, 2005,January 02, 2006,Continuous

0.04999999964

(7)

ImpliedRate1discount3,January 02, 2005,January 02, 2006,Monthly

0.05010431113

(8)

Compatibility

• 

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

• 

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

See Also

Finance[CompoundFactor]

Finance[DayCounter]

Finance[DiscountCurve]

Finance[EquivalentRate]

Finance[ForwardCurve]

Finance[ForwardRate]

Finance[ParRate]

Finance[ParseDate]

Finance[YieldFromCleanPrice]

Finance[YieldFromDirtyPrice]

Finance[ZeroCurve]

 


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