return the fair spread of interest rate swap
swap data structure; interest rate swap
non-negative constant of a yield term structure; discount rate
The FairSpread command returns the fair spread of the given interest rate swap.
SetEvaluationDate⁡January 02, 2007:
January 2, 2007
Consider two payment schedules. The first one consists of payments of 5% of the nominal every month between January 3, 2008 and January 3, 2018. The second one consists of payments of 3% of the nominal every quarter between January 3, 2010 and January 3, 2015.
Schedule1 ≔ Schedule⁡January 03, 2008,January 03, 2018,Monthly
Schedule1 ≔ moduleend module
Schedule2 ≔ Schedule⁡January 03, 2010,January 03, 2015,Quarterly
Schedule2 ≔ moduleend module
Rate1 ≔ 0.05
Rate2 ≔ BenchmarkRate⁡0.03
Rate2 ≔ moduleend module
Consider two simple swaps that exchange the first set of payments with the second set.
Swap1 ≔ InterestRateSwap⁡1000,Rate1,Schedule1,Rate2,Schedule2,0.03
Swap1 ≔ moduleend module
Swap2 ≔ InterestRateSwap⁡1000,Rate2,Schedule2,Rate1,Schedule1,0.03
Swap2 ≔ moduleend module
DiscountRate ≔ 0.05
Spread1 ≔ FairSpread⁡Swap1,DiscountRate
Spread2 ≔ FairSpread⁡Swap2,DiscountRate
Consider the same simple swaps that use the fair spread.
Swap3 ≔ InterestRateSwap⁡1000,Rate1,Schedule1,Rate2,Schedule2,Spread1
Swap3 ≔ moduleend module
Swap4 ≔ InterestRateSwap⁡1000,Rate1,Schedule1,Rate2,Schedule2,Spread2
Swap4 ≔ moduleend module
The Finance[FairSpread] command was introduced in Maple 15.
For more information on Maple 15 changes, see Updates in Maple 15.
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