UpFrontIndexedCoupon - Maple Help

Finance

 UpFrontIndexedCoupon
 construct an up-front indexed coupon

 Calling Sequence UpFrontIndexedCoupon(nominal, rate, startdate, enddate, paymentdate)

Parameters

 nominal - non-negative constant; nominal value rate - yield term structure or benchmark rate; interest rate startdate - a string containing a date specification in a format recognized by ParseDate or a date data structure; accrual start date enddate - a string containing a date specification in a format recognized by ParseDate or a date data structure; accrual end date paymentdate - a string containing a date specification in a format recognized by ParseDate or a date data structure; payment date

Description

 • 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.

Examples

 > $\mathrm{with}\left(\mathrm{Finance}\right):$
 > $\mathrm{SetEvaluationDate}\left("January 2, 2005"\right):$
 > $\mathrm{startdate}≔"January 2, 2006"$
 ${\mathrm{startdate}}{≔}{"January 2, 2006"}$ (1)
 > $\mathrm{enddate}≔"January 2, 2010"$
 ${\mathrm{enddate}}{≔}{"January 2, 2010"}$ (2)
 > $\mathrm{paymentdate}≔"January 2, 2015"$
 ${\mathrm{paymentdate}}{≔}{"January 2, 2015"}$ (3)
 > $\mathrm{rate}≔\mathrm{BenchmarkRate}\left(6,\mathrm{Months},\mathrm{USDLIBOR},0.05\right)$
 ${\mathrm{rate}}{≔}{\mathbf{module}}\left({}\right)\phantom{\rule[-0.0ex]{0.5em}{0.0ex}}{}\phantom{\rule[-0.0ex]{0.5em}{0.0ex}}{\mathbf{end module}}$ (4)
 > $\mathrm{coupon}≔\mathrm{UpFrontIndexedCoupon}\left(100,\mathrm{rate},\mathrm{startdate},\mathrm{enddate},\mathrm{paymentdate}\right)$
 ${\mathrm{coupon}}{≔}{\mathrm{20.26527080 on January 2, 2015}}$ (5)
 > $\mathrm{NetPresentValue}\left(\mathrm{coupon},0.05\right)$
 ${12.29150807}$ (6)
 > $\mathrm{coupon2}≔\mathrm{UpFrontIndexedCoupon}\left(100,0.05,\mathrm{startdate},\mathrm{enddate},\mathrm{paymentdate}\right)$
 ${\mathrm{coupon2}}{≔}{\mathrm{20.26527080 on January 2, 2015}}$ (7)
 > $\mathrm{NetPresentValue}\left(\mathrm{coupon},0.05\right)$
 ${12.29150807}$ (8)

Compatibility

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