Maple Professional
Maple Academic
Maple Student Edition
Maple Personal Edition
Maple Player
Maple Player for iPad
MapleSim Professional
MapleSim Academic
Maple T.A. - Testing & Assessment
Maple T.A. MAA Placement Test Suite
Möbius - Online Courseware
Machine Design / Industrial Automation
Aerospace
Vehicle Engineering
Robotics
Power Industries
System Simulation and Analysis
Model development for HIL
Plant Modeling for Control Design
Robotics/Motion Control/Mechatronics
Other Application Areas
Mathematics Education
Engineering Education
High Schools & Two-Year Colleges
Testing & Assessment
Students
Financial Modeling
Operations Research
High Performance Computing
Physics
Live Webinars
Recorded Webinars
Upcoming Events
MaplePrimes
Maplesoft Blog
Maplesoft Membership
Maple Ambassador Program
MapleCloud
Technical Whitepapers
E-Mail Newsletters
Maple Books
Math Matters
Application Center
MapleSim Model Gallery
User Case Studies
Exploring Engineering Fundamentals
Teaching Concepts with Maple
Maplesoft Welcome Center
Teacher Resource Center
Student Help Center
Finance[ForwardRate] - compute forward rates based an a given term structure
Calling Sequence
ForwardRate(termstructure, maturitytime, opts)
ForwardRate(termstructure, maturitydate, opts)
ForwardRate(termstructure, expirytime, maturitytime, opts)
ForwardRate(termstructure, expirydate, maturitydate, opts)
Parameters
termstructure
-
yield term structure; term structure
maturitytime
non-negative constant; maturity time in years
expirytime
non-negative constant; expiry time in years
maturitydate
non-negative constant; maturity date
expirydate
non-negative constant; expiry date
opts
Equations of the form option = value where option is compounding; specify options for the ForwardRate command
Description
The ForwardRate(termstructure, expirytime, maturitytime) and ForwardRate(termstructure, expirytime, maturitytime) calling sequences return the forward interest rate for the specified expiry and maturity. The parameter termstructure can be a zero curve, a discount curve, or a forward curve. The compounding type for the returned rate can be controlled through the corresponding option.
The ForwardRate(termstructure, maturitytime) and ForwardRate(termstructure, maturitytime) calling sequences calculate an approximation of the instanteneous forward interest rate for the maturity maturitytime or maturitydate based on the specified term structure.
Options
compounding = Simple, Continuous, Annual, Semiannual, EveryFourthMonth, Quarterly, Bimonthly, Monthly, SimpleThenAnnual, SimpleThenSemiannual, SimpleThenEveryFourthMonth, SimpleThenQuarterly, SimpleThenBimonthly, or SimpleThenMonthly -- This option specifies the compounding type for the returned rate. The default value is Continuous.
Compatibility
The Finance[ForwardRate] command was introduced in Maple 15.
For more information on Maple 15 changes, see Updates in Maple 15.
Examples
In this example, create a flat zero curve with reference date set to January 5, 2006.
In this example, create a zero curve with the same parameters as above but assume that the interest rate is based on the monthly compounding.
In this example, create a zero curve based on a piecewise interpolation of zero rates. Use the default interpolation.
See Also
Finance[DiscountCurve], Finance[ForwardCurve], Finance[ParRate], Finance[ZeroCurve], Finance[ZeroRate]
References
Brigo, D., Mercurio, F., Interest Rate Models: Theory and Practice. New York:
Hull, J., Options, Futures, and Other Derivatives, 5th. edition. Upper Saddle River, New Jersey: Prentice Hall, 2003.
Download Help Document
