calendar = a name representing a supported calendar (e.g. Toronto, NewYork) or a calendar data structure created using the Calendar constructor -- This option can be used to specify the underlying calendar.

convention =  Unadjusted, Preceding, ModifiedPreceding, Following, ModifiedFollowing, or MonthEndReference -- This option can be used to specify business day conventions. The default value is Following.

daycounter = a name representing a supported day counter (e.g. ISDA, Simple) or a day counter data structure created using the DayCounter constructor -- This option provides a day counter that will be used to convert the period between two dates to a fraction of the year.

issuedate = a string containing a date specification in a format recognized by ParseDate or a date data structure -- This option provides the issue date of a bond. It is set to the global evaluation date by default.

settlementdays = positive integer -- This option specifies the number of settlement days. The default value is 1.

The ZeroCouponBond command creates a new zero-coupon bond with the specified redemption value and maturity. It is assumed that the redemption value is equal to the face value of the bond.

$\mathrm{with}\left(\mathrm{Finance}\right)\:$

$\mathrm{SetEvaluationDate}\left(''January\; 05,\; 2007''\right)\:$

$\mathrm{Maturity}≔\mathrm{AdvanceDate}\left(\mathrm{EvaluationDate}\left(\right)\,5\,'\mathrm{Years}'\right)$

$\mathrm{Maturity}≔''January\; 5,\; 2012''$

$\mathrm{B1}≔\mathrm{ZeroCouponBond}\left(100\,5\,\mathrm{Years}\right)$

$\mathrm{B1}≔\mathbf{module}\left(\right)\mathbf{end\; module}$

$\mathrm{B2}≔\mathrm{ZeroCouponBond}\left(100\,\mathrm{Maturity}\right)$

$\mathrm{B2}≔\mathbf{module}\left(\right)\mathbf{end\; module}$

$\mathrm{CashFlows}\left(\mathrm{B1}\right)$

$\left[\mathrm{100.\; on\; \text{'}January\; 5,\; 2012\text{'}}\right]$

$\mathrm{CashFlows}\left(\mathrm{B2}\right)$

$\left[\mathrm{100.\; on\; \text{'}January\; 5,\; 2012\text{'}}\right]$

$\mathrm{cleanprice1}≔\mathrm{CleanPrice}\left(\mathrm{B1}\,0.05\right)$

$\mathrm{cleanprice1}≔77.88019490$

$\mathrm{dirtyprice1}≔\mathrm{DirtyPrice}\left(\mathrm{B1}\,0.05\right)$

$\mathrm{dirtyprice1}≔77.88019490$

$\mathrm{cleanprice2}≔\mathrm{CleanPrice}\left(\mathrm{B2}\,0.05\right)$

$\mathrm{cleanprice2}≔77.88019490$

$\mathrm{dirtyprice2}≔\mathrm{DirtyPrice}\left(\mathrm{B2}\,0.05\right)$

$\mathrm{dirtyprice2}≔77.88019490$

$\mathrm{NetPresentValue}\left(\mathrm{B2}\,0.05\right)$

$77.88019490$

$\mathrm{YieldFromCleanPrice}\left(\mathrm{B1}\,\mathrm{cleanprice1}\right)$

$0.05000000002$

$\mathrm{YieldFromCleanPrice}\left(\mathrm{B2}\,\mathrm{cleanprice2}\right)$

$0.05000000002$

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

Glasserman, P., Monte Carlo Methods in Financial Engineering. New York: Springer-Verlag, 2004.

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

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

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