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Finance

  

FairSpread

  

return the fair spread of interest rate swap

 

Calling Sequence

Parameters

Description

Examples

Compatibility

Calling Sequence

FairSpread(swap, discountrate)

Parameters

swap

-

swap data structure; interest rate swap

discount

-

non-negative constant of a yield term structure; discount rate

Description

• 

The FairSpread command returns the fair spread of the given interest rate swap.

Examples

withFinance:

SetEvaluationDateJanuary 02, 2007:

EvaluationDate

January 2, 2007

(1)

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.

Schedule1ScheduleJanuary 03, 2008,January 03, 2018,Monthly

Schedule1moduleend module

(2)

Schedule2ScheduleJanuary 03, 2010,January 03, 2015,Quarterly

Schedule2moduleend module

(3)

Rate10.05

Rate10.05

(4)

Rate2BenchmarkRate0.03

Rate2moduleend module

(5)

Consider two simple swaps that exchange the first set of payments with the second set.

Swap1InterestRateSwap1000,Rate1,Schedule1,Rate2,Schedule2,0.03

Swap1moduleend module

(6)

Swap2InterestRateSwap1000,Rate2,Schedule2,Rate1,Schedule1,0.03

Swap2moduleend module

(7)

DiscountRate0.05

DiscountRate0.05

(8)

NetPresentValueSwap1,DiscountRate

146.0132438

(9)

NetPresentValueSwap2,DiscountRate

146.0132438

(10)

Spread1FairSpreadSwap1,DiscountRate

Spread10.06859218772

(11)

Spread2FairSpreadSwap2,DiscountRate

Spread20.06859218772

(12)

Consider the same simple swaps that use the fair spread.

Swap3InterestRateSwap1000,Rate1,Schedule1,Rate2,Schedule2,Spread1

Swap3moduleend module

(13)

Swap4InterestRateSwap1000,Rate1,Schedule1,Rate2,Schedule2,Spread2

Swap4moduleend module

(14)

NetPresentValueSwap3,DiscountRate

8.45506065210-9

(15)

NetPresentValueSwap4,DiscountRate

8.45506065210-9

(16)

Compatibility

• 

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

• 

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

See Also

Finance[CompoundFactor]

Finance[DiscountFactor]

Finance[FixedRateCoupon]

Finance[InArrearIndexedCoupon]

Finance[ParCoupon]

Finance[SimpleCashFlow]

Finance[UpFrontIndexedCoupon]

Finance[ZeroCurve]