compute zero rates based on a given term structure
ZeroRate(termstructure, maturitytime, opts)
ZeroRate(termstructure, maturitydate, opts)
yield term structure; term structure
non-negative constant; maturity time in years
date in any of the formats recognized by the Finance[ParseDate] command; maturity date
equation of the form option = value where option is compounding; specify option for the ZeroRate command
compounding = Simple, Continuous, Annual, Semiannual, EveryFourthMonth, Quarterly, Bimonthly, Monthly, SimpleThenAnnual, SimpleThenSemiannual, SimpleThenEveryFourthMonth, SimpleThenQuarterly, SimpleThenBimonthly, or SimpleThenMonthly -- This option specifies compounding type for the returned rate. The default value is Continuous.
The ZeroRate command returns the zero interest rate for the maturity maturitytime or maturitydate based on the specified term structure. The parameter termstructure can be a zero curve, a discount curve, or a forward curve. The compounding type for the returned rate can be controlled through the corresponding option.
times ≔ 0,0.5,1,1.5,2:
rates ≔ 0.03,0.04,0.06,0.07,0.075:
R ≔ ZeroCurve⁡times,rates,interpolation=LogLinear:
In this example, create a flat zero curve with reference date set to January 5, 2006.
R1 ≔ ZeroCurve⁡0.05,referencedate=Jan-05-2006:
T ≔ YearFraction⁡Jan-05-2006,Jan-05-2007,R1:-daycounter
In this example, create a zero curve with the same parameters as above but assume that the interest rate is based on monthly compounding.
R2 ≔ ZeroCurve⁡0.05,compounding=Monthly,referencedate=Jan-05-2005:
In this example, create a zero curve based on a piecewise interpolation of zero rates. Use the default interpolation.
rates ≔ 0.02,0.01,0.04,0.06,0.07:
times ≔ 0.0,0.5,1.0,1.5,2.0:
R3 ≔ ZeroCurve⁡times,rates:
Brigo, D., Mercurio, F., Interest Rate Models: Theory and Practice. New York:
Hull, J., Options, Futures, and Other Derivatives, 5th. edition. Upper Saddle River, New Jersey: Prentice Hall, 2003.
The Finance[ZeroRate] command was introduced in Maple 15.
For more information on Maple 15 changes, see Updates in Maple 15.
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