construct an up-front indexed coupon
UpFrontIndexedCoupon(nominal, rate, startdate, enddate, paymentdate)
non-negative constant; nominal value
yield term structure or benchmark rate; interest rate
a string containing a date specification in a format recognized by ParseDate or a date data structure; accrual start date
a string containing a date specification in a format recognized by ParseDate or a date data structure; accrual end date
a string containing a date specification in a format recognized by ParseDate or a date data structure; payment date
The UpFrontIndexedCoupon command constructs an up-front indexed coupon.
The interest is accrued between startdate and enddate.
The optional parameter paymentdate can be used to specify when the accrued interest will be payed. By default paymentdate is equal to enddate.
SetEvaluationDate⁡January 2, 2005:
startdate ≔ January 2, 2006
enddate ≔ January 2, 2010
paymentdate ≔ January 2, 2015
rate ≔ BenchmarkRate⁡6,Months,USDLIBOR,0.05
rate ≔ moduleend module
coupon ≔ UpFrontIndexedCoupon⁡100,rate,startdate,enddate,paymentdate
coupon ≔ 20.26527080 on January 2, 2015
coupon2 ≔ UpFrontIndexedCoupon⁡100,0.05,startdate,enddate,paymentdate
coupon2 ≔ 20.26527080 on January 2, 2015
The Finance[UpFrontIndexedCoupon] command was introduced in Maple 15.
For more information on Maple 15 changes, see Updates in Maple 15.
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