return a discount factor for the specified date or time
DiscountFactor(rate, time, opts)
DiscountFactor(rate, date, opts)
real constant, list(realcons), Vector, or a yield term structure; given interest rate
non-negative real number, list(non-negative), or Vector; time in years
a string containing a date specification in a format recognized by ParseDate or a Date data structure; date
equations of the form option = value where option is one of referencedate, compounding, or daycounter; specify options for the DiscountFactor command
compounding = Simple, Continuous, Annual, Semiannual, EveryFourthMonth, Quarterly, Bimonthly, Monthly, SimpleThenAnnual, SimpleThenSemiannual, SimpleThenEveryFourthMonth, SimpleThenQuarterly, SimpleThenBimonthly, or SimpleThenMonthly -- This option specifies the compounding type for the given interest rate.
daycounter = Actual360, Actual365Fixed, AFB, Bond, Euro, Historical, ISDA, ISMA, OneDay, Simple, Thirty360BondBasis, Thirty360EuroBondBasis, Thirty360European, Thirty360Italian, Thirty360USA, 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. The default day count convention can be set using the Settings command.
referencedate = a string containing a date specification in a format recognized by ParseDate or a Date data structure -- This option specifies the reference date, that is, the date when the discount factor is equal to 1.
The DiscountFactor(rate, time, opts) calling sequence computes the discount factor at the specified time corresponding to the given interest rate. The interest rate and time can be given as lists in which case the array or their combinations are returned.
The DiscountFactor(rate, date, opts) calling sequence computes the discount factor on the specified date corresponding to the given interest rate. The value of the daycounter option is used to compute the distance between date and the reference date (which is set to the global evaluation date by default).
rate1 ≔ 0.06:
discount1 ≔ DiscountFactor⁡rate1,1.0,compounding=Monthly
rate2 ≔ ImpliedRate⁡1discount1,1.0,Monthly
cmpdlist ≔ 1.2,1.05,1.8:
timelist ≔ 0.2,2.5,3.2:
cflist ≔ DiscountFactor⁡cmpdlist,timelist,compounding=Monthly
DiscountFactor⁡rate1,January 02, 2006,compounding=Monthly,daycounter=Actual365Fixed,referencedate=January 02, 2005
rate3 ≔ ZeroCurve⁡0.05,referencedate=January 02, 2005
discount3 ≔ DiscountFactor⁡rate3,January 02, 2006
ImpliedRate⁡1discount3,January 02, 2005,January 02, 2006,Continuous
ImpliedRate⁡1discount3,January 02, 2005,January 02, 2006,Monthly
The Finance[DiscountFactor] command was introduced in Maple 15.
For more information on Maple 15 changes, see Updates in Maple 15.
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