 BenchmarkRate - Maple Help

Finance

 BenchmarkRate
 create a benchmark rate Calling Sequence BenchmarkRate(forecast, opts) BenchmarkRate(tenor, units, familyname, forecast) Parameters

 tenor - positive integer; length of the tenor units - Days, Weeks, Months, or Years; time units familyname - family name; can be one of the following: AUDLIBOR, CADLIBOR, CDOR, CHFLIBOR, DKKLIBOR, EURIBOR, GBPLIBOR, JIBAR, JPYLIBOR, NZDLIBOR, TIBOR, TRLIBOR, USDLIBOR, ZIBOR forecast - yield term structure; forecasted rate or term structure Description

 • The BenchmarkRate(forecast, opts) calling sequence creates a new benchmark rate with the specified calendar, day count and business day conventions.
 • The BenchmarkRate(tenor, units, familyname, forecast) command creates one of the standard benchmark rates (e.g. one of the LIBOR rates). In this case standard market calendar, day count and business day conventions will be used.
 • The parameter tenor is the length of the tenor. The parameter units specifies time units for the tenor. The parameter familyname is the family name for the benchmark index.
 • The parameter forecast is the forecasted rate. For dates preceding the global evaluation date historic data can be used (see the LoadHistory command). Otherwise the forecasted interest rate is used. Examples

 > $\mathrm{with}\left(\mathrm{Finance}\right):$
 > $\mathrm{SetEvaluationDate}\left("January 15, 2005"\right):$

Set defaults assumed by the USDLIBOR rate.

 > $\mathrm{Settings}\left(\left[\mathrm{calendar}=\mathrm{NewYork},\mathrm{compounding}=\mathrm{Simple},\mathrm{settlementdays}=2,\mathrm{daycounter}=\mathrm{Actual360},\mathrm{businessdayconvention}=\mathrm{ModifiedFollowing}\right]\right)$
 $\left[{\mathrm{calendar}}{=}{\mathrm{Null}}{,}{\mathrm{compounding}}{=}{\mathrm{Continuous}}{,}{\mathrm{settlementdays}}{=}{0}{,}{\mathrm{daycounter}}{=}{\mathrm{Historical}}{,}{\mathrm{businessdayconvention}}{=}{\mathrm{Unadjusted}}\right]$ (1)

Create a 6-month USD LIBOR rate and use float rate of 7% as forecast.

 > $\mathrm{benchmark}≔\mathrm{BenchmarkRate}\left(6,\mathrm{Months},\mathrm{USDLIBOR},\mathrm{ForwardCurve}\left(0.07,\mathrm{compounding}=\mathrm{Continuous}\right)\right)$
 ${\mathrm{benchmark}}{≔}{\mathbf{module}}\left({}\right)\phantom{\rule[-0.0ex]{0.5em}{0.0ex}}{}\phantom{\rule[-0.0ex]{0.5em}{0.0ex}}{\mathbf{end module}}$ (2)

This will throw an error since not historic data is available to the given benchmark rate. On the other hand, the forecasted interest rate is used only for dates after the global evaluation date.

 > $\mathrm{benchmark}\left("January 11, 2005"\right)$

 > $\mathrm{LoadHistory}\left(\mathrm{benchmark},"January 08, 2005",\left[0.01,0.02,0.03,0.04,0.05,0.06,0.07\right]\right):$

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

 > $\mathrm{benchmark}\left("January 11, 2005"\right)$
 ${0.04000000000}$ (3)
 > $\mathrm{benchmark}\left("January 10, 2005"\right)$
 ${0.03000000000}$ (4)
 > $\mathrm{benchmark}\left("January 14, 2005"\right)$
 ${0.07000000000}$ (5)
 > $\mathrm{benchmark}\left("January 16, 2005"\right)$
 ${0.07124638451}$ (6)
 > $\mathrm{rate}≔\mathrm{benchmark}\left("January 17, 2005"\right)$
 ${\mathrm{rate}}{≔}{0.07124638451}$ (7)
 > $\mathrm{fixingdate}≔\mathrm{AdvanceDate}\left("Jan-17-2005",2,\mathrm{Days}\right)$
 ${\mathrm{fixingdate}}{≔}{"Jan-19-2005"}$ (8)
 > $\mathrm{maturitydate}≔\mathrm{AdvanceDate}\left(\mathrm{fixingdate},6,\mathrm{Months}\right)$
 ${\mathrm{maturitydate}}{≔}{"Jul-19-2005"}$ (9)
 > $\mathrm{EquivalentRate}\left(0.07,\mathrm{Continuous},\mathrm{Simple},\mathrm{fixingdate},\mathrm{maturitydate}\right)$
 ${0.07124638451}$ (10) Compatibility

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