InterestRateSwap - Maple Help

Finance

 InterestRateSwap
 create new interest-rate swap

 Calling Sequence InterestRateSwap(nominal, fixedrate, fixedschedule, floatrate, floatschedule, spread, opts) InterestRateSwap(nominal, floatrate, floatschedule, fixedrate, fixedschedule, spread, opts)

Parameters

 nominal - non-negative constant; nominal amount fixedrate - non-negative constant; fixed-leg rate fixedschedule - payment schedule (see Schedule); fixed-leg schedule floatrate - benchmark rate (see BenchmarkRate) ; floating-leg rate floatschedule - payment schedule (see Schedule); floating-leg schedule spread - non-negative constant; swap spread opts - (optional) equation(s) of the form option = value where option is daycounter; specify options for the InterestRateSwap command

Options

 • 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 can be used to specify a day count convention used by the fixed leg.

Description

 • The InterestRateSwap command constructs a simple interest rate swap. This is a contract that exchanges payments between two different indexed legs starting at some future time.
 • The parameter fixedschedule defines a payment schedule for the fixed leg. Assume that fixedschedule consists of times ${T}_{{\mathrm{\alpha }}_{1}}$, ${T}_{{\mathrm{\alpha }}_{2}}$, ..., ${T}_{{\mathrm{\alpha }}_{n}}$. At every date ${T}_{{\mathrm{\alpha }}_{i}}$ the fixed leg pays the amount

$N{\mathrm{dT}}_{{\mathrm{\alpha }}_{i}}R$

where $R$ is the fixed interest rate, $N$ is the nominal value, and ${\mathrm{dT}}_{{\mathrm{\alpha }}_{i}}$ is the year fraction between dates ${T}_{{\mathrm{\alpha }}_{i-1}}$ and ${T}_{{\mathrm{\alpha }}_{i}}$.

 • The parameter floatschedule defines a payment schedule for the floating leg. Assume that floatschedule consists of dates ${T}_{{\mathrm{\beta }}_{1}}$, ${T}_{{\mathrm{\beta }}_{2}}$, ..., ${T}_{{\mathrm{\beta }}_{n}}$. At every date ${T}_{{\mathrm{\beta }}_{j}}$ the floating leg pays the amount

$N{\mathrm{dT}}_{{\mathrm{\beta }}_{i}}L\left({T}_{{\mathrm{\beta }}_{i-1}},{T}_{{\mathrm{\beta }}_{i}}\right)$

where $L\left({T}_{{\mathrm{\beta }}_{i-1}},{T}_{{\mathrm{\beta }}_{i}}\right)$ is the benchmark rate (for example, LIBOR rate), reset at the time ${T}_{{\mathrm{\beta }}_{i-1}}$.

 • The option daycounter specifies the day count convention used by the fixed leg. The day count convention used by the floating leg is implicitly defined by the corresponding benchmark rate.

Examples

 > $\mathrm{with}\left(\mathrm{Finance}\right):$
 > $\mathrm{SetEvaluationDate}\left("January 02, 2007"\right):$

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.

 > $\mathrm{Schedule1}≔\mathrm{Schedule}\left("January 03, 2008","January 03, 2018",\mathrm{Monthly}\right)$
 ${\mathrm{Schedule1}}{≔}{\mathbf{module}}\left({}\right)\phantom{\rule[-0.0ex]{0.5em}{0.0ex}}{}\phantom{\rule[-0.0ex]{0.5em}{0.0ex}}{\mathbf{end module}}$ (1)
 > $\mathrm{Schedule2}≔\mathrm{Schedule}\left("January 03, 2010","January 03, 2015",\mathrm{Quarterly}\right)$
 ${\mathrm{Schedule2}}{≔}{\mathbf{module}}\left({}\right)\phantom{\rule[-0.0ex]{0.5em}{0.0ex}}{}\phantom{\rule[-0.0ex]{0.5em}{0.0ex}}{\mathbf{end module}}$ (2)
 > $\mathrm{Rate1}≔0.05$
 ${\mathrm{Rate1}}{≔}{0.05}$ (3)
 > $\mathrm{Rate2}≔\mathrm{BenchmarkRate}\left(0.03\right)$
 ${\mathrm{Rate2}}{≔}{\mathbf{module}}\left({}\right)\phantom{\rule[-0.0ex]{0.5em}{0.0ex}}{}\phantom{\rule[-0.0ex]{0.5em}{0.0ex}}{\mathbf{end module}}$ (4)

Consider two simple swaps that exchange the first set of payments for the second set.

 > $\mathrm{Swap1}≔\mathrm{InterestRateSwap}\left(1000,\mathrm{Rate1},\mathrm{Schedule1},\mathrm{Rate2},\mathrm{Schedule2},0.03\right)$
 ${\mathrm{Swap1}}{≔}{\mathbf{module}}\left({}\right)\phantom{\rule[-0.0ex]{0.5em}{0.0ex}}{}\phantom{\rule[-0.0ex]{0.5em}{0.0ex}}{\mathbf{end module}}$ (5)
 > $\mathrm{Swap2}≔\mathrm{InterestRateSwap}\left(1000,\mathrm{Rate2},\mathrm{Schedule2},\mathrm{Rate1},\mathrm{Schedule1},0.03\right)$
 ${\mathrm{Swap2}}{≔}{\mathbf{module}}\left({}\right)\phantom{\rule[-0.0ex]{0.5em}{0.0ex}}{}\phantom{\rule[-0.0ex]{0.5em}{0.0ex}}{\mathbf{end module}}$ (6)

Here is the set of cash flows for the paying leg of each swap.

 > $\mathrm{PayingLeg1}≔\mathrm{CashFlows}\left(\mathrm{Swap1},\mathrm{paying}\right)$
 ${\mathrm{PayingLeg1}}{≔}\left[{\mathrm{4.234972678 on \text{'}February 3, 2008\text{'}}}{,}{\mathrm{3.961748634 on \text{'}March 3, 2008\text{'}}}{,}{\mathrm{4.234972678 on \text{'}April 3, 2008\text{'}}}{,}{\mathrm{4.098360656 on \text{'}May 3, 2008\text{'}}}{,}{\mathrm{4.234972678 on \text{'}June 3, 2008\text{'}}}{,}{\mathrm{4.098360656 on \text{'}July 3, 2008\text{'}}}{,}{\mathrm{4.234972678 on \text{'}August 3, 2008\text{'}}}{,}{\mathrm{4.234972678 on \text{'}September 3, 2008\text{'}}}{,}{\mathrm{4.098360656 on \text{'}October 3, 2008\text{'}}}{,}{\mathrm{4.234972678 on \text{'}November 3, 2008\text{'}}}{,}{\mathrm{4.098360656 on \text{'}December 3, 2008\text{'}}}{,}{\mathrm{4.235721237 on \text{'}January 3, 2009\text{'}}}{,}{\mathrm{4.246575342 on \text{'}February 3, 2009\text{'}}}{,}{\mathrm{3.835616438 on \text{'}March 3, 2009\text{'}}}{,}{\mathrm{4.246575342 on \text{'}April 3, 2009\text{'}}}{,}{\mathrm{4.109589041 on \text{'}May 3, 2009\text{'}}}{,}{\mathrm{4.246575342 on \text{'}June 3, 2009\text{'}}}{,}{\mathrm{4.109589041 on \text{'}July 3, 2009\text{'}}}{,}{\mathrm{4.246575342 on \text{'}August 3, 2009\text{'}}}{,}{\mathrm{4.246575342 on \text{'}September 3, 2009\text{'}}}{,}{\mathrm{4.109589041 on \text{'}October 3, 2009\text{'}}}{,}{\mathrm{4.246575342 on \text{'}November 3, 2009\text{'}}}{,}{\mathrm{4.109589041 on \text{'}December 3, 2009\text{'}}}{,}{\mathrm{4.246575342 on \text{'}January 3, 2010\text{'}}}{,}{\mathrm{4.246575342 on \text{'}February 3, 2010\text{'}}}{,}{\mathrm{3.835616438 on \text{'}March 3, 2010\text{'}}}{,}{\mathrm{4.246575342 on \text{'}April 3, 2010\text{'}}}{,}{\mathrm{4.109589041 on \text{'}May 3, 2010\text{'}}}{,}{\mathrm{4.246575342 on \text{'}June 3, 2010\text{'}}}{,}{\mathrm{4.109589041 on \text{'}July 3, 2010\text{'}}}{,}{\mathrm{4.246575342 on \text{'}August 3, 2010\text{'}}}{,}{\mathrm{4.246575342 on \text{'}September 3, 2010\text{'}}}{,}{\mathrm{4.109589041 on \text{'}October 3, 2010\text{'}}}{,}{\mathrm{4.246575342 on \text{'}November 3, 2010\text{'}}}{,}{\mathrm{4.109589041 on \text{'}December 3, 2010\text{'}}}{,}{\mathrm{4.246575342 on \text{'}January 3, 2011\text{'}}}{,}{\mathrm{4.246575342 on \text{'}February 3, 2011\text{'}}}{,}{\mathrm{3.835616438 on \text{'}March 3, 2011\text{'}}}{,}{\mathrm{4.246575342 on \text{'}April 3, 2011\text{'}}}{,}{\mathrm{4.109589041 on \text{'}May 3, 2011\text{'}}}{,}{\mathrm{4.246575342 on \text{'}June 3, 2011\text{'}}}{,}{\mathrm{4.109589041 on \text{'}July 3, 2011\text{'}}}{,}{\mathrm{4.246575342 on \text{'}August 3, 2011\text{'}}}{,}{\mathrm{4.246575342 on \text{'}September 3, 2011\text{'}}}{,}{\mathrm{4.109589041 on \text{'}October 3, 2011\text{'}}}{,}{\mathrm{4.246575342 on \text{'}November 3, 2011\text{'}}}{,}{\mathrm{4.109589041 on \text{'}December 3, 2011\text{'}}}{,}{\mathrm{4.245826783 on \text{'}January 3, 2012\text{'}}}{,}{\mathrm{4.234972678 on \text{'}February 3, 2012\text{'}}}{,}{\mathrm{3.961748634 on \text{'}March 3, 2012\text{'}}}{,}{\mathrm{4.234972678 on \text{'}April 3, 2012\text{'}}}{,}{\mathrm{4.098360656 on \text{'}May 3, 2012\text{'}}}{,}{\mathrm{4.234972678 on \text{'}June 3, 2012\text{'}}}{,}{\mathrm{4.098360656 on \text{'}July 3, 2012\text{'}}}{,}{\mathrm{4.234972678 on \text{'}August 3, 2012\text{'}}}{,}{\mathrm{4.234972678 on \text{'}September 3, 2012\text{'}}}{,}{\mathrm{4.098360656 on \text{'}October 3, 2012\text{'}}}{,}{\mathrm{4.234972678 on \text{'}November 3, 2012\text{'}}}{,}{\mathrm{4.098360656 on \text{'}December 3, 2012\text{'}}}{,}{\mathrm{4.235721237 on \text{'}January 3, 2013\text{'}}}{,}{\mathrm{4.246575342 on \text{'}February 3, 2013\text{'}}}{,}{\mathrm{3.835616438 on \text{'}March 3, 2013\text{'}}}{,}{\mathrm{4.246575342 on \text{'}April 3, 2013\text{'}}}{,}{\mathrm{4.109589041 on \text{'}May 3, 2013\text{'}}}{,}{\mathrm{4.246575342 on \text{'}June 3, 2013\text{'}}}{,}{\mathrm{4.109589041 on \text{'}July 3, 2013\text{'}}}{,}{\mathrm{4.246575342 on \text{'}August 3, 2013\text{'}}}{,}{\mathrm{4.246575342 on \text{'}September 3, 2013\text{'}}}{,}{\mathrm{4.109589041 on \text{'}October 3, 2013\text{'}}}{,}{\mathrm{4.246575342 on \text{'}November 3, 2013\text{'}}}{,}{\mathrm{4.109589041 on \text{'}December 3, 2013\text{'}}}{,}{\mathrm{4.246575342 on \text{'}January 3, 2014\text{'}}}{,}{\mathrm{4.246575342 on \text{'}February 3, 2014\text{'}}}{,}{\mathrm{3.835616438 on \text{'}March 3, 2014\text{'}}}{,}{\mathrm{4.246575342 on \text{'}April 3, 2014\text{'}}}{,}{\mathrm{4.109589041 on \text{'}May 3, 2014\text{'}}}{,}{\mathrm{4.246575342 on \text{'}June 3, 2014\text{'}}}{,}{\mathrm{4.109589041 on \text{'}July 3, 2014\text{'}}}{,}{\mathrm{4.246575342 on \text{'}August 3, 2014\text{'}}}{,}{\mathrm{4.246575342 on \text{'}September 3, 2014\text{'}}}{,}{\mathrm{4.109589041 on \text{'}October 3, 2014\text{'}}}{,}{\mathrm{4.246575342 on \text{'}November 3, 2014\text{'}}}{,}{\mathrm{4.109589041 on \text{'}December 3, 2014\text{'}}}{,}{\mathrm{4.246575342 on \text{'}January 3, 2015\text{'}}}{,}{\mathrm{4.246575342 on \text{'}February 3, 2015\text{'}}}{,}{\mathrm{3.835616438 on \text{'}March 3, 2015\text{'}}}{,}{\mathrm{4.246575342 on \text{'}April 3, 2015\text{'}}}{,}{\mathrm{4.109589041 on \text{'}May 3, 2015\text{'}}}{,}{\mathrm{4.246575342 on \text{'}June 3, 2015\text{'}}}{,}{\mathrm{4.109589041 on \text{'}July 3, 2015\text{'}}}{,}{\mathrm{4.246575342 on \text{'}August 3, 2015\text{'}}}{,}{\mathrm{4.246575342 on \text{'}September 3, 2015\text{'}}}{,}{\mathrm{4.109589041 on \text{'}October 3, 2015\text{'}}}{,}{\mathrm{4.246575342 on \text{'}November 3, 2015\text{'}}}{,}{\mathrm{4.109589041 on \text{'}December 3, 2015\text{'}}}{,}{\mathrm{4.245826783 on \text{'}January 3, 2016\text{'}}}{,}{\mathrm{4.234972678 on \text{'}February 3, 2016\text{'}}}{,}{\mathrm{3.961748634 on \text{'}March 3, 2016\text{'}}}{,}{\mathrm{4.234972678 on \text{'}April 3, 2016\text{'}}}{,}{\mathrm{4.098360656 on \text{'}May 3, 2016\text{'}}}{,}{\mathrm{4.234972678 on \text{'}June 3, 2016\text{'}}}{,}{\mathrm{4.098360656 on \text{'}July 3, 2016\text{'}}}{,}{\mathrm{4.234972678 on \text{'}August 3, 2016\text{'}}}{,}{\mathrm{4.234972678 on \text{'}September 3, 2016\text{'}}}{,}{\mathrm{4.098360656 on \text{'}October 3, 2016\text{'}}}{,}{\mathrm{4.234972678 on \text{'}November 3, 2016\text{'}}}{,}{\mathrm{4.098360656 on \text{'}December 3, 2016\text{'}}}{,}{\mathrm{4.235721237 on \text{'}January 3, 2017\text{'}}}{,}{\mathrm{4.246575342 on \text{'}February 3, 2017\text{'}}}{,}{\mathrm{3.835616438 on \text{'}March 3, 2017\text{'}}}{,}{\mathrm{4.246575342 on \text{'}April 3, 2017\text{'}}}{,}{\mathrm{4.109589041 on \text{'}May 3, 2017\text{'}}}{,}{\mathrm{4.246575342 on \text{'}June 3, 2017\text{'}}}{,}{\mathrm{4.109589041 on \text{'}July 3, 2017\text{'}}}{,}{\mathrm{4.246575342 on \text{'}August 3, 2017\text{'}}}{,}{\mathrm{4.246575342 on \text{'}September 3, 2017\text{'}}}{,}{\mathrm{4.109589041 on \text{'}October 3, 2017\text{'}}}{,}{\mathrm{4.246575342 on \text{'}November 3, 2017\text{'}}}{,}{\mathrm{4.109589041 on \text{'}December 3, 2017\text{'}}}{,}{\mathrm{4.246575342 on \text{'}January 3, 2018\text{'}}}\right]$ (7)
 > $\mathrm{PayingLeg2}≔\mathrm{CashFlows}\left(\mathrm{Swap2},\mathrm{paying}\right)$
 ${\mathrm{PayingLeg2}}{≔}\left[{\mathrm{14.82194787 on \text{'}April 3, 2010\text{'}}}{,}{\mathrm{14.98694508 on \text{'}July 3, 2010\text{'}}}{,}{\mathrm{15.15194910 on \text{'}October 3, 2010\text{'}}}{,}{\mathrm{15.15194910 on \text{'}January 3, 2011\text{'}}}{,}{\mathrm{14.82194787 on \text{'}April 3, 2011\text{'}}}{,}{\mathrm{14.98694508 on \text{'}July 3, 2011\text{'}}}{,}{\mathrm{15.15194910 on \text{'}October 3, 2011\text{'}}}{,}{\mathrm{15.15127369 on \text{'}January 3, 2012\text{'}}}{,}{\mathrm{14.94592054 on \text{'}April 3, 2012\text{'}}}{,}{\mathrm{14.94592054 on \text{'}July 3, 2012\text{'}}}{,}{\mathrm{15.11047204 on \text{'}October 3, 2012\text{'}}}{,}{\mathrm{15.11114744 on \text{'}January 3, 2013\text{'}}}{,}{\mathrm{14.82194787 on \text{'}April 3, 2013\text{'}}}{,}{\mathrm{14.98694508 on \text{'}July 3, 2013\text{'}}}{,}{\mathrm{15.15194910 on \text{'}October 3, 2013\text{'}}}{,}{\mathrm{15.15194910 on \text{'}January 3, 2014\text{'}}}{,}{\mathrm{14.82194787 on \text{'}April 3, 2014\text{'}}}{,}{\mathrm{14.98694508 on \text{'}July 3, 2014\text{'}}}{,}{\mathrm{15.15194910 on \text{'}October 3, 2014\text{'}}}{,}{\mathrm{15.15194910 on \text{'}January 3, 2015\text{'}}}\right]$ (8)

Here is the set of cash flows for the receiving leg.

 > $\mathrm{ReceivingLeg1}≔\mathrm{CashFlows}\left(\mathrm{Swap1},\mathrm{receiving}\right)$
 ${\mathrm{ReceivingLeg1}}{≔}\left[{\mathrm{14.82194787 on \text{'}April 3, 2010\text{'}}}{,}{\mathrm{14.98694508 on \text{'}July 3, 2010\text{'}}}{,}{\mathrm{15.15194910 on \text{'}October 3, 2010\text{'}}}{,}{\mathrm{15.15194910 on \text{'}January 3, 2011\text{'}}}{,}{\mathrm{14.82194787 on \text{'}April 3, 2011\text{'}}}{,}{\mathrm{14.98694508 on \text{'}July 3, 2011\text{'}}}{,}{\mathrm{15.15194910 on \text{'}October 3, 2011\text{'}}}{,}{\mathrm{15.15127369 on \text{'}January 3, 2012\text{'}}}{,}{\mathrm{14.94592054 on \text{'}April 3, 2012\text{'}}}{,}{\mathrm{14.94592054 on \text{'}July 3, 2012\text{'}}}{,}{\mathrm{15.11047204 on \text{'}October 3, 2012\text{'}}}{,}{\mathrm{15.11114744 on \text{'}January 3, 2013\text{'}}}{,}{\mathrm{14.82194787 on \text{'}April 3, 2013\text{'}}}{,}{\mathrm{14.98694508 on \text{'}July 3, 2013\text{'}}}{,}{\mathrm{15.15194910 on \text{'}October 3, 2013\text{'}}}{,}{\mathrm{15.15194910 on \text{'}January 3, 2014\text{'}}}{,}{\mathrm{14.82194787 on \text{'}April 3, 2014\text{'}}}{,}{\mathrm{14.98694508 on \text{'}July 3, 2014\text{'}}}{,}{\mathrm{15.15194910 on \text{'}October 3, 2014\text{'}}}{,}{\mathrm{15.15194910 on \text{'}January 3, 2015\text{'}}}\right]$ (9)
 > $\mathrm{ReceivingLeg2}≔\mathrm{CashFlows}\left(\mathrm{Swap2},\mathrm{receiving}\right)$
 ${\mathrm{ReceivingLeg2}}{≔}\left[{\mathrm{4.234972678 on \text{'}February 3, 2008\text{'}}}{,}{\mathrm{3.961748634 on \text{'}March 3, 2008\text{'}}}{,}{\mathrm{4.234972678 on \text{'}April 3, 2008\text{'}}}{,}{\mathrm{4.098360656 on \text{'}May 3, 2008\text{'}}}{,}{\mathrm{4.234972678 on \text{'}June 3, 2008\text{'}}}{,}{\mathrm{4.098360656 on \text{'}July 3, 2008\text{'}}}{,}{\mathrm{4.234972678 on \text{'}August 3, 2008\text{'}}}{,}{\mathrm{4.234972678 on \text{'}September 3, 2008\text{'}}}{,}{\mathrm{4.098360656 on \text{'}October 3, 2008\text{'}}}{,}{\mathrm{4.234972678 on \text{'}November 3, 2008\text{'}}}{,}{\mathrm{4.098360656 on \text{'}December 3, 2008\text{'}}}{,}{\mathrm{4.235721237 on \text{'}January 3, 2009\text{'}}}{,}{\mathrm{4.246575342 on \text{'}February 3, 2009\text{'}}}{,}{\mathrm{3.835616438 on \text{'}March 3, 2009\text{'}}}{,}{\mathrm{4.246575342 on \text{'}April 3, 2009\text{'}}}{,}{\mathrm{4.109589041 on \text{'}May 3, 2009\text{'}}}{,}{\mathrm{4.246575342 on \text{'}June 3, 2009\text{'}}}{,}{\mathrm{4.109589041 on \text{'}July 3, 2009\text{'}}}{,}{\mathrm{4.246575342 on \text{'}August 3, 2009\text{'}}}{,}{\mathrm{4.246575342 on \text{'}September 3, 2009\text{'}}}{,}{\mathrm{4.109589041 on \text{'}October 3, 2009\text{'}}}{,}{\mathrm{4.246575342 on \text{'}November 3, 2009\text{'}}}{,}{\mathrm{4.109589041 on \text{'}December 3, 2009\text{'}}}{,}{\mathrm{4.246575342 on \text{'}January 3, 2010\text{'}}}{,}{\mathrm{4.246575342 on \text{'}February 3, 2010\text{'}}}{,}{\mathrm{3.835616438 on \text{'}March 3, 2010\text{'}}}{,}{\mathrm{4.246575342 on \text{'}April 3, 2010\text{'}}}{,}{\mathrm{4.109589041 on \text{'}May 3, 2010\text{'}}}{,}{\mathrm{4.246575342 on \text{'}June 3, 2010\text{'}}}{,}{\mathrm{4.109589041 on \text{'}July 3, 2010\text{'}}}{,}{\mathrm{4.246575342 on \text{'}August 3, 2010\text{'}}}{,}{\mathrm{4.246575342 on \text{'}September 3, 2010\text{'}}}{,}{\mathrm{4.109589041 on \text{'}October 3, 2010\text{'}}}{,}{\mathrm{4.246575342 on \text{'}November 3, 2010\text{'}}}{,}{\mathrm{4.109589041 on \text{'}December 3, 2010\text{'}}}{,}{\mathrm{4.246575342 on \text{'}January 3, 2011\text{'}}}{,}{\mathrm{4.246575342 on \text{'}February 3, 2011\text{'}}}{,}{\mathrm{3.835616438 on \text{'}March 3, 2011\text{'}}}{,}{\mathrm{4.246575342 on \text{'}April 3, 2011\text{'}}}{,}{\mathrm{4.109589041 on \text{'}May 3, 2011\text{'}}}{,}{\mathrm{4.246575342 on \text{'}June 3, 2011\text{'}}}{,}{\mathrm{4.109589041 on \text{'}July 3, 2011\text{'}}}{,}{\mathrm{4.246575342 on \text{'}August 3, 2011\text{'}}}{,}{\mathrm{4.246575342 on \text{'}September 3, 2011\text{'}}}{,}{\mathrm{4.109589041 on \text{'}October 3, 2011\text{'}}}{,}{\mathrm{4.246575342 on \text{'}November 3, 2011\text{'}}}{,}{\mathrm{4.109589041 on \text{'}December 3, 2011\text{'}}}{,}{\mathrm{4.245826783 on \text{'}January 3, 2012\text{'}}}{,}{\mathrm{4.234972678 on \text{'}February 3, 2012\text{'}}}{,}{\mathrm{3.961748634 on \text{'}March 3, 2012\text{'}}}{,}{\mathrm{4.234972678 on \text{'}April 3, 2012\text{'}}}{,}{\mathrm{4.098360656 on \text{'}May 3, 2012\text{'}}}{,}{\mathrm{4.234972678 on \text{'}June 3, 2012\text{'}}}{,}{\mathrm{4.098360656 on \text{'}July 3, 2012\text{'}}}{,}{\mathrm{4.234972678 on \text{'}August 3, 2012\text{'}}}{,}{\mathrm{4.234972678 on \text{'}September 3, 2012\text{'}}}{,}{\mathrm{4.098360656 on \text{'}October 3, 2012\text{'}}}{,}{\mathrm{4.234972678 on \text{'}November 3, 2012\text{'}}}{,}{\mathrm{4.098360656 on \text{'}December 3, 2012\text{'}}}{,}{\mathrm{4.235721237 on \text{'}January 3, 2013\text{'}}}{,}{\mathrm{4.246575342 on \text{'}February 3, 2013\text{'}}}{,}{\mathrm{3.835616438 on \text{'}March 3, 2013\text{'}}}{,}{\mathrm{4.246575342 on \text{'}April 3, 2013\text{'}}}{,}{\mathrm{4.109589041 on \text{'}May 3, 2013\text{'}}}{,}{\mathrm{4.246575342 on \text{'}June 3, 2013\text{'}}}{,}{\mathrm{4.109589041 on \text{'}July 3, 2013\text{'}}}{,}{\mathrm{4.246575342 on \text{'}August 3, 2013\text{'}}}{,}{\mathrm{4.246575342 on \text{'}September 3, 2013\text{'}}}{,}{\mathrm{4.109589041 on \text{'}October 3, 2013\text{'}}}{,}{\mathrm{4.246575342 on \text{'}November 3, 2013\text{'}}}{,}{\mathrm{4.109589041 on \text{'}December 3, 2013\text{'}}}{,}{\mathrm{4.246575342 on \text{'}January 3, 2014\text{'}}}{,}{\mathrm{4.246575342 on \text{'}February 3, 2014\text{'}}}{,}{\mathrm{3.835616438 on \text{'}March 3, 2014\text{'}}}{,}{\mathrm{4.246575342 on \text{'}April 3, 2014\text{'}}}{,}{\mathrm{4.109589041 on \text{'}May 3, 2014\text{'}}}{,}{\mathrm{4.246575342 on \text{'}June 3, 2014\text{'}}}{,}{\mathrm{4.109589041 on \text{'}July 3, 2014\text{'}}}{,}{\mathrm{4.246575342 on \text{'}August 3, 2014\text{'}}}{,}{\mathrm{4.246575342 on \text{'}September 3, 2014\text{'}}}{,}{\mathrm{4.109589041 on \text{'}October 3, 2014\text{'}}}{,}{\mathrm{4.246575342 on \text{'}November 3, 2014\text{'}}}{,}{\mathrm{4.109589041 on \text{'}December 3, 2014\text{'}}}{,}{\mathrm{4.246575342 on \text{'}January 3, 2015\text{'}}}{,}{\mathrm{4.246575342 on \text{'}February 3, 2015\text{'}}}{,}{\mathrm{3.835616438 on \text{'}March 3, 2015\text{'}}}{,}{\mathrm{4.246575342 on \text{'}April 3, 2015\text{'}}}{,}{\mathrm{4.109589041 on \text{'}May 3, 2015\text{'}}}{,}{\mathrm{4.246575342 on \text{'}June 3, 2015\text{'}}}{,}{\mathrm{4.109589041 on \text{'}July 3, 2015\text{'}}}{,}{\mathrm{4.246575342 on \text{'}August 3, 2015\text{'}}}{,}{\mathrm{4.246575342 on \text{'}September 3, 2015\text{'}}}{,}{\mathrm{4.109589041 on \text{'}October 3, 2015\text{'}}}{,}{\mathrm{4.246575342 on \text{'}November 3, 2015\text{'}}}{,}{\mathrm{4.109589041 on \text{'}December 3, 2015\text{'}}}{,}{\mathrm{4.245826783 on \text{'}January 3, 2016\text{'}}}{,}{\mathrm{4.234972678 on \text{'}February 3, 2016\text{'}}}{,}{\mathrm{3.961748634 on \text{'}March 3, 2016\text{'}}}{,}{\mathrm{4.234972678 on \text{'}April 3, 2016\text{'}}}{,}{\mathrm{4.098360656 on \text{'}May 3, 2016\text{'}}}{,}{\mathrm{4.234972678 on \text{'}June 3, 2016\text{'}}}{,}{\mathrm{4.098360656 on \text{'}July 3, 2016\text{'}}}{,}{\mathrm{4.234972678 on \text{'}August 3, 2016\text{'}}}{,}{\mathrm{4.234972678 on \text{'}September 3, 2016\text{'}}}{,}{\mathrm{4.098360656 on \text{'}October 3, 2016\text{'}}}{,}{\mathrm{4.234972678 on \text{'}November 3, 2016\text{'}}}{,}{\mathrm{4.098360656 on \text{'}December 3, 2016\text{'}}}{,}{\mathrm{4.235721237 on \text{'}January 3, 2017\text{'}}}{,}{\mathrm{4.246575342 on \text{'}February 3, 2017\text{'}}}{,}{\mathrm{3.835616438 on \text{'}March 3, 2017\text{'}}}{,}{\mathrm{4.246575342 on \text{'}April 3, 2017\text{'}}}{,}{\mathrm{4.109589041 on \text{'}May 3, 2017\text{'}}}{,}{\mathrm{4.246575342 on \text{'}June 3, 2017\text{'}}}{,}{\mathrm{4.109589041 on \text{'}July 3, 2017\text{'}}}{,}{\mathrm{4.246575342 on \text{'}August 3, 2017\text{'}}}{,}{\mathrm{4.246575342 on \text{'}September 3, 2017\text{'}}}{,}{\mathrm{4.109589041 on \text{'}October 3, 2017\text{'}}}{,}{\mathrm{4.246575342 on \text{'}November 3, 2017\text{'}}}{,}{\mathrm{4.109589041 on \text{'}December 3, 2017\text{'}}}{,}{\mathrm{4.246575342 on \text{'}January 3, 2018\text{'}}}\right]$ (10)
 > $\mathrm{NetPresentValue}\left(\mathrm{Swap1},0.05\right)$
 ${-146.0132438}$ (11)
 > $\mathrm{NetPresentValue}\left(\mathrm{Swap2},0.05\right)$
 ${146.0132438}$ (12)

Compatibility

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