return the fair spread of interest rate swap
swap data structure; interest rate swap
non-negative constant of a yield term structure; discount rate
The FairSpread command returns the fair spread of the given interest rate swap.
SetEvaluationDate⁡January 02, 2007:
January 2, 2007
Consider two payment schedules. The first one consists of payments of 5% of the nominal every month between January 3, 2008 and January 3, 2018. The second one consists of payments of 3% of the nominal every quarter between January 3, 2010 and January 3, 2015.
Schedule1≔Schedule⁡January 03, 2008,January 03, 2018,Monthly
Schedule2≔Schedule⁡January 03, 2010,January 03, 2015,Quarterly
Consider two simple swaps that exchange the first set of payments with the second set.
Consider the same simple swaps that use the fair spread.
The Finance[FairSpread] command was introduced in Maple 15.
For more information on Maple 15 changes, see Updates in Maple 15.
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