construct a fixed rate coupon on a term structure

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Finance[FixedRateCoupon] - construct a fixed rate coupon on a term structure

	Calling Sequence
	FixedRateCoupon(nominal, rate, startdate, enddate, paymentdate, opts)

Parameters

nominal	-	non-negative constant; nominal value
rate	-	non-negative constant; coupon 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
opts	-	equations of the form option = value where option is daycounter; specify options for the FixedRateCoupon command

Description

•	The FixedRateCoupon command constructs a coupon paying a fixed interest rate on the given date.

•	The interest is accrued between startdate and enddate based on simple compounding.

•	The optional parameter paymentdate can be used to specify when the accrued interest will be payed. By default paymentdate is equal to enddate.

Options

•

daycounter = Actual360, Actual365Fixed, AFB, Bond, Euro, Historical, ISDA, ISMA, OneDay, Simple, Thirty360BondBasis, Thirty360EuroBondBasis, Thirty360European, Thirty360Italian, Thirty360USA, or a day counter data structure; convention used to convert the amount of time between two dates to year fractions

Compatibility

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

•	For more information on Maple 15 changes, see Updates in Maple 15.

Examples

First set the global evaluation date to January 1, 2005.

(1)

Construct a coupon that pays the fixed rate of 5%. The accrual period starts on January 3, 2006 and ends on January 3, 2010.

(2)

(3)

(4)

(5)

(6)

(7)

Compute the value of this cash flow on January 3, 2005.

(8)

Here is another way to compute this. First, compute the accrued interest.

(9)

This is the value to be received on January 3, 2010. You must discount this value using the discount rate.

(10)

This is the value of the same cash flow on January 3, 2004.

(11)

(12)

Calculate the net present value of the set of two cash flows.

(13)

(14)

(15)

(16)

(17)

(18)

	See Also
	Finance[CompoundFactor], Finance[DiscountFactor], Finance[FixedCouponBond], Finance[FloatingRateBond], Finance[InArrearIndexedCoupon], Finance[NetPresentValue], Finance[ParCoupon], Finance[ParseDate], Finance[SimpleCashFlow], Finance[UpFrontIndexedCoupon], Finance[ZeroCouponBond], Finance[ZeroCurve]