 Finance - Maple Programming Help

Finance

 load historic data for a given benchmark rate

Parameters

 benchmark - benchmark rate created using the BenchmarkRate command; benchmark rate starthistory - a string containing a date specification in a format recognized by ParseDate or a Date data structure; start of the history data - list or Vector of rates; historic data

Description

 • The LoadHistory command loads historic data for the specified benchmark rate constructed using the BenchmarkRate command. Note that for dates preceding the global evaluation date, historic data can be used. Otherwise the forecasted interest rate is used.

Examples

 > $\mathrm{with}\left(\mathrm{Finance}\right):$
 > $\mathrm{SetEvaluationDate}\left("Jan-03-2005"\right):$

Create a 6-month USD LIBOR rate and use a float rate of 5% as forecast.

 > $\mathrm{benchmark}≔\mathrm{BenchmarkRate}\left(6,\mathrm{Months},\mathrm{USDLIBOR},\mathrm{ZeroCurve}\left(0.05\right)\right)$
 ${\mathrm{benchmark}}{:=}{\mathbf{module}}\left({}\right)\phantom{\rule[-0.0ex]{0.5em}{0.0ex}}{}\phantom{\rule[-0.0ex]{0.5em}{0.0ex}}{\mathbf{end module}}$ (1)
 > $\mathrm{benchmark}\left("Jan-11-2005"\right)$
 ${0.04993152460}$ (2)

This is the load history for this rate.

 > $\mathrm{LoadHistory}\left(\mathrm{benchmark},"Jan-11-2005",\left[0.07\right]\right):$

Note that historic data is used only for dates preceding the global evaluation date. Otherwise the forecasted interest rate is used.

 > $\mathrm{benchmark}\left("Jan-11-2005"\right)$
 ${0.04993152460}$ (3)
 > $\mathrm{SetEvaluationDate}\left("Jan-15-2005"\right):$
 > $\mathrm{benchmark}\left("Jan-11-2005"\right)$
 ${0.07000000000}$ (4)

Compatibility

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