calendar = a name representing a supported calendar (e.g. Toronto, NewYork) or a calendar data structure created using the Calendar constructor -- This option can be used to specify the underlying calendar.

convention = Unadjusted, Preceding, ModifiedPreceding, Following, ModifiedFollowing, or MonthEndReference -- This option can be used to specify business day conventions. The default value is Following.

daycounter = a name representing a supported day counter (e.g. ISDA, Simple) or a day counter data structure created using the DayCounter constructor -- This option provides a day counter that will be used to convert the period between two dates to a fraction of the year.

frequency = Annual, Semiannual, EveryFourthMonth, Quarterly, Bimonthly, or Monthly -- This option specifies coupon frequency. The default value is Annual.

issuedate = a string containing a date specification in a format recognized by ParseDate or a date data structure -- This option provides the issue date of a bond. It is set to the global evaluation date by default.

settlementdays = positive integer -- This option specifies the number of settlement days. The default value is 1.

The FloatingRateBond commands creates a new floating-rate bond with the specified parameters. It is assumed that the face value of the bond is $100.0$.

$\mathrm{with}\left(\mathrm{Finance}\right)\:$

$\mathrm{SetEvaluationDate}\left(''January\; 15,\; 2007''\right)\:$

$\mathrm{Settings}\left(\left[\mathrm{daycounter}=\mathrm{Historical}\,\mathrm{businessdayconvention}=\mathrm{Unadjusted}\,\mathrm{settlementdays}=0\right]\right)$

$\left[\mathrm{daycounter}=\mathrm{Historical}\,\mathrm{businessdayconvention}=\mathrm{Unadjusted}\,\mathrm{settlementdays}=0\right]$

$\mathrm{rate}≔\mathrm{BenchmarkRate}\left(0.03\right)$

$\mathrm{rate}≔\mathbf{module}\left(\right)\mathbf{end\; module}$

$\mathrm{LoadHistory}\left(\mathrm{rate}\,''December\; 23,\; 2006''\,\left[0.023\,0.025\,0.021\,0.022\,0.023\,0.02\,0.021\,0.024\,0.025\,0.026\,0.027\,0.028\right]\right)$

$\mathrm{spreads}≔⟨0.001\,0.0012\,0.0014\,0.0016⟩$

$\mathrm{spreads}≔\left[\begin{array}{c}0.001\\ 0.0012\\ 0.0014\\ 0.0016\end{array}\right]$

$\mathrm{bond}≔\mathrm{FloatingRateBond}\left(100\,5\,\mathrm{Years}\,\mathrm{rate}\,\mathrm{spreads}\,\mathrm{issuedate}=''January\; 02,\; 2007''\right)\:$

$\mathrm{CashFlows}\left(\mathrm{bond}\right)$

$\left[\mathrm{2.699979789\; on\; \text{'}January\; 2,\; 2008\text{'}}\,\mathrm{3.120146310\; on\; \text{'}January\; 2,\; 2009\text{'}}\,\mathrm{3.140123291\; on\; \text{'}January\; 2,\; 2010\text{'}}\,\mathrm{3.160123291\; on\; \text{'}January\; 2,\; 2011\text{'}}\,\mathrm{3.160099636\; on\; \text{'}January\; 2,\; 2012\text{'}}\,\mathrm{100.\; on\; \text{'}January\; 2,\; 2012\text{'}}\right]$

$\mathrm{cleanprice}≔\mathrm{CleanPrice}\left(\mathrm{bond}\,0.05\right)$

$\mathrm{cleanprice}≔91.08881737$

$\mathrm{dirtyprice}≔\mathrm{DirtyPrice}\left(\mathrm{bond}\,0.05\right)$

$\mathrm{dirtyprice}≔91.18498176$

$\mathrm{accrued}≔\mathrm{AccruedAmount}\left(\mathrm{bond}\right)$

$\mathrm{accrued}≔0.09616438356$

$\mathrm{YieldFromCleanPrice}\left(\mathrm{bond}\,\mathrm{cleanprice}\right)$

$0.05000000002$

$\mathrm{YieldFromDirtyPrice}\left(\mathrm{bond}\,\mathrm{dirtyprice}\right)$

$0.04999999999$

$\mathrm{bond2}≔\mathrm{FloatingRateBond}\left(120\,5\,\mathrm{Years}\,\mathrm{rate}\,\mathrm{spreads}\,\mathrm{issuedate}=''January\; 02,\; 2007''\right)\:$

$\mathrm{CashFlows}\left(\mathrm{bond2}\right)$

$\left[\mathrm{2.699979789\; on\; \text{'}January\; 2,\; 2008\text{'}}\,\mathrm{3.120146310\; on\; \text{'}January\; 2,\; 2009\text{'}}\,\mathrm{3.140123291\; on\; \text{'}January\; 2,\; 2010\text{'}}\,\mathrm{3.160123291\; on\; \text{'}January\; 2,\; 2011\text{'}}\,\mathrm{3.160099636\; on\; \text{'}January\; 2,\; 2012\text{'}}\,\mathrm{120.\; on\; \text{'}January\; 2,\; 2012\text{'}}\right]$

Brigo, D., Mercurio, F., Interest Rate Models: Theory and Practice. New York: Springer-Verlag, 2001.

Glasserman, P., Monte Carlo Methods in Financial Engineering. New York: Springer-Verlag, 2004.

Hull, J., Options, Futures, and Other Derivatives, 5th. edition. Upper Saddle River, New Jersey: Prentice Hall, 2003.

The Finance[FloatingRateBond] command was introduced in Maple 15.

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