construct an in-arrear indexed coupon
InArrearIndexedCoupon(nominal, rate, startdate, enddate, paymentdate)
non-negative constant; nominal value
yield term structure or benchmark rate; 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 InArrearIndexedCoupon command constructs an in-arrear 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:
paymentdate ≔ January 2, 2015
paymentdate≔January 2, 2015
startdate ≔ January 2, 2006
startdate≔January 2, 2006
enddate ≔ January 2, 2010
enddate≔January 2, 2010
rate ≔ BenchmarkRate⁡6,Months,USDLIBOR,0.05:
coupon ≔ InArrearIndexedCoupon⁡100,rate,startdate,enddate,paymentdate
coupon≔20.26527080 on January 2, 2015
The Finance[InArrearIndexedCoupon] command was introduced in Maple 15.
For more information on Maple 15 changes, see Updates in Maple 15.
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