construct a fixed rate coupon on a term structure
FixedRateCoupon(nominal, rate, startdate, enddate, paymentdate, opts)
non-negative constant; nominal value
non-negative constant; coupon rate
a string containing a date specification in a format recognized by ParseDate or a date data structure; accrual start date
a string containing a date specification in a format recognized by ParseDate or a date data structure; accrual end date
a string containing a date specification in a format recognized by ParseDate or a date data structure; payment date
equations of the form option = value where option is daycounter; specify options for the FixedRateCoupon command
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
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.
First set the global evaluation date to January 1, 2005.
SetEvaluationDate⁡January 01, 2005:
January 1, 2005
Construct a coupon that pays the fixed rate of 5%. The accrual period starts on January 3, 2006 and ends on January 3, 2010.
nominal ≔ 100
rate ≔ 0.05
paymentdate ≔ Jan-03-2015
startdate ≔ Jan-03-2006
enddate ≔ Jan-03-2010
coupon ≔ FixedRateCoupon⁡nominal,rate,startdate,enddate,paymentdate
coupon≔20. on January 3, 2015
Compute the value of this cash flow on January 3, 2005.
Here is another way to compute this. First, compute the accrued interest.
accrued ≔ nominal⁢CompoundFactor⁡rate,enddate,referencedate=startdate,compounding='Simple'−nominal
This is the value to be received on January 3, 2010. You must discount this value using the discount rate.
This is the value of the same cash flow on January 3, 2004.
Calculate the net present value of the set of two cash flows.
rate2 ≔ 0.07
startdate2 ≔ Jan-03-2007
enddate2 ≔ Jan-03-2010
coupon2 ≔ FixedRateCoupon⁡nominal,rate2,startdate2,enddate2,paymentdate
coupon2≔21.00000000 on January 3, 2015
The Finance[FixedRateCoupon] command was introduced in Maple 15.
For more information on Maple 15 changes, see Updates in Maple 15.
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