load historic data for a given benchmark rate - Maple Help

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Finance[LoadHistory] - load historic data for a given benchmark rate

Calling Sequence

LoadHistory(benchmark, starthistory, data)

Parameters

benchmark

-

benchmark rate created using the BenchmarkRate command; benchmark rate

starthistory

-

a string containing a date specification in a format recognized by ParseDate or a date data structure; start of the history

data

-

list or Vector of rates; historic data

Description

• 

The LoadHistory command loads historic data for the specified benchmark rate constructed using the BenchmarkRate command. Note that for dates preceding the global evaluation date, historic data can be used. Otherwise the forecasted interest rate is used.

Examples

withFinance:

SetEvaluationDateJan-03-2005:

Create a 6-month USD LIBOR rate and use a float rate of 5% as forecast.

benchmark:=BenchmarkRate6,Months,USDLIBOR,ZeroCurve0.05

benchmark:=moduleend module

(1)

benchmarkJan-11-2005

0.04993152460

(2)

This is the load history for this rate.

LoadHistorybenchmark,Jan-11-2005,0.07:

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

benchmarkJan-11-2005

0.04993152460

(3)

SetEvaluationDateJan-15-2005:

benchmarkJan-11-2005

0.07000000000

(4)

See Also

Finance[BenchmarkRate], Finance[Calendar], Finance[DayCounter], Finance[DiscountCurve], Finance[EquivalentRate], Finance[ForwardCurve], Finance[ForwardRate], Finance[ImpliedRate], Finance[ParRate], Finance[ZeroCurve]


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