return a discount factor for the specified date or time - Maple Help

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Finance[DiscountFactor] - return a discount factor for the specified date or time

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

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:

rate1:=0.06:

discount1:=DiscountFactorrate1,1.0,compounding=Monthly

discount1:=0.9419053397

(1)

rate2:=ImpliedRate1discount1,1.0,Monthly

rate2:=0.06000000013

(2)

cmpdlist:=1.2,1.05,1.8:

timelist:=0.2,2.5,3.2:

cflist:=DiscountFactorcmpdlist,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)

rate3:=ZeroCurve0.05,referencedate=January 02, 2005

rate3:=moduleend module

(5)

discount3:=DiscountFactorrate3,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)

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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