calculate an interest on par with a term structure - Maple Help

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Finance[ParRate] - calculate an interest on par with a term structure

Calling Sequence

ParRate(termstructure, n, step, starttime, frequency)

ParRate(termstructure, paymenttimes, frequency)

ParRate(termstructure, schedule, frequency)

Parameters

termstructure

-

yield term structure; term structure

n

-

positive integer; number of payments

step

-

positive; length of the interval between payments in years

frequency

-

Annual, Bimonthly, EveryFourthMonth, Monthly, Quarterly, or Semiannual; payment frequency

paymenttimes

-

list or Vector; payment times

starttime

-

non-negative constant; start of payments

schedule

-

schedule data structure; payment schedule

Description

• 

The ParRate command calculates the implied par rate for a given sequence of payments at the given times.

• 

The ParRate(termstructure, n, step, starttime, frequency) calling sequence calculates the interest rate that is equivalent to n payments every step years starting at starttime based on the given yield term structure. The optional frequency parameter can be used to specify the compounding frequency for the returned rate. By default, Annual frequency is used.

• 

The ParRate(termstructure, paymenttimes, frequency) calling sequence is similar to the above except that in this case irregular payment times can be given.

• 

The ParRate(termstructure, schedule, frequency) calling sequence will calculate the par rate for interest payments that occur according to the given schedule.

Examples

withFinance:

rates:=0.02,0.01,0.04,0.06,0.07:

times:=0.0,0.5,1.0,1.5,2.0:

R:=ZeroCurvetimes,rates,interpolation=LogLinear,referencedate=January 05, 2006

R:=moduleend module

(1)

ParRateR,5,1.0,1.0,Annual

0.2080324452

(2)

ParRateR,5,1.0,1.0,Monthly12

0.2080324452

(3)

T:=seq1.0+i1.0,i=0..5

T:=1.0,2.0,3.0,4.0,5.0,6.0

(4)

ParRateR,T,Annual

0.2526682224

(5)

S:=ScheduleJanuary 05, 2007,January 05, 2008,Monthly

S:=moduleend module

(6)

ParRateR,S,Monthly

0.1002412388

(7)

See Also

Finance[DiscountCurve], Finance[EquivalentRate], Finance[ForwardCurve], Finance[ForwardRate], Finance[ImpliedRate], Finance[ParRate], Finance[ZeroCurve]

References

  

Brigo, D., Mercurio, F., Interest Rate Models: Theory and Practice. New York: Springer-Verlag, 2001.

  

Hull, J., Options, Futures, and Other Derivatives, 5th. edition. Upper Saddle River, New Jersey: Prentice Hall, 2003.


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