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Finance[ZeroRate] - compute zero rates based on a given term structure
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Calling Sequence
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ZeroRate(termstructure, maturitytime, opts)
ZeroRate(termstructure, maturitydate, opts)
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Parameters
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termstructure
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yield term structure; term structure
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maturitytime
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non-negative constant; maturity time in years
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maturitydate
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date in any of the formats recognized by the Finance[ParseDate] command; maturity date
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opts
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equation of the form option = value where option is compounding; specify option for the ZeroRate command
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Description
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The ZeroRate command returns the zero interest rate for the maturity maturitytime or maturitydate based on the specified term structure. 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.
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Options
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compounding = Simple, Continuous, Annual, Semiannual, EveryFourthMonth, Quarterly, Bimonthly, Monthly, SimpleThenAnnual, SimpleThenSemiannual, SimpleThenEveryFourthMonth, SimpleThenQuarterly, SimpleThenBimonthly, or SimpleThenMonthly -- This option specifies compounding type for the returned rate. The default value is Continuous.
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Compatibility
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The Finance[ZeroRate] command was introduced in Maple 15.
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Examples
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![times := [0, .5, 1, 1.5, 2]](/support/helpjp/helpview.aspx?si=8884/file01703/math169.png)
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![rates := [0.3e-1, 0.4e-1, 0.6e-1, 0.7e-1, 0.75e-1]](/support/helpjp/helpview.aspx?si=8884/file01703/math173.png)
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In this example, create a flat zero curve with reference date set to January 5, 2006.
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In this example, create a zero curve with the same parameters as above but assume that the interest rate is based on monthly compounding.
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In this example, create a zero curve based on a piecewise interpolation of zero rates. Use the default interpolation.
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![rates := [0.2e-1, 0.1e-1, 0.4e-1, 0.6e-1, 0.7e-1]](/support/helpjp/helpview.aspx?si=8884/file01703/math281.png)
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![times := [0., .5, 1.0, 1.5, 2.0]](/support/helpjp/helpview.aspx?si=8884/file01703/math285.png)
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References
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Brigo, D., Mercurio, F., Interest Rate Models: Theory and Practice. New York:
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Hull, J., Options, Futures, and Other Derivatives, 5th. edition. Upper Saddle River, New Jersey: Prentice Hall, 2003.
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