create new floating-rate bond

Finance[FloatingRateBond] - create new floating-rate bond

	Calling Sequence
	FloatingRateBond(redemptionvalue, maturity, timeunit, rate, spreads, options) FloatingRateBond(redemptionvalue, maturitydate, rate, spreads, options)

Parameters

redemptionvalue	-	bonds redemption value
maturitydate	-	a date specified in a format recognized by the ParseDate command; maturity date
maturity	-	a nonnegative integer specifying the quantity of the time units
timunit	-	Days, Weeks, Months, or Years; time units
rate	-	benchmark rate data structure; variable rate
spreads	-	a list or Vector of the spreads on the interest rate
opts	-	(optional) equation(s) of the form option = value where option is one of calendar, convention, frequency, daycounter, issuedate, or settlementdays; specify options for the FloatingRateBond command

Description

•	The FloatingRateBond commands creates a new floating-rate bond with the specified parameters. It is assumed that the face value of the bond is .

Options

•	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.

•	frequency = Annual, Semiannual, EveryFourthMonth, Quarterly, Bimonthly, or Monthly -- This option specifies coupon frequency. The default value is Annual.

•	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.

Compatibility

•	The Finance[FloatingRateBond] command was introduced in Maple 15.

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

Examples

(1)

(2)

spreads := Vector[column]([[0.1e-2], [0.12e-2], [0.14e-2], [0.16e-2]])

(3)

Get the set of cash flows for your bonds.

(4)

Calculate the clean price and the dirty price for your bond using the fixed rate of 5% as the discount rate.

(5)

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(7)

Calculate the bond's yield using the previous discount rate.

(8)

(9)

Note that the face value is always and the coupon payments are calculated based on this rate.

Get the set of cash flows for your bonds.

(10)

	See Also
	Finance[CleanPrice], Finance[DirtyPrice], Finance[FixedCouponBond], Finance[YieldFromCleanPrice], Finance[YieldFromDirtyPrice], Finance[ZeroCouponBond]