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Finance[ZeroCouponBond] - create new zero-coupon bond
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Calling Sequence
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ZeroCouponBond(redemptionvalue, term, units, opts)
ZeroCouponBond(redemptionvalue, maturity, opts)
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Parameters
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redemptionvalue
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positive constant; bond's redemption value
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term
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positive integer; time to maturity in time units
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units
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Days, Weeks, Months, or Years; time units
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maturity
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a date specified in a format recognized by the ParseDate command; maturity date
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opts
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(optional) equation(s) of the form option = value where option is one of calendar, convention, daycounter, issuedate, or settlementdays; specify options for the ZeroCouponBond command
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Description
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The ZeroCouponBond command creates a new zero-coupon bond with the specified redemption value and maturity. It is assumed that the redemption value is equal to the face value of the bond.
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Options
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calendar = a name representing a supported calendar (e.g. Toronto, NewYork) or a calendar data structure created using the Calendar constructor -- This option can be used to specify the underlying calendar.
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convention = Unadjusted, Preceding, ModifiedPreceding, Following, ModifiedFollowing, or MonthEndReference -- This option can be used to specify business day conventions. The default value is Following.
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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 provides a day counter that will be used to convert the period between two dates to a fraction of the year.
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issuedate = a string containing a date specification in a format recognized by ParseDate or a date data structure -- This option provides the issue date of a bond. It is set to the global evaluation date by default.
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settlementdays = positive integer -- This option specifies the number of settlement days. The default value is 1.
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Compatibility
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The Finance[ZeroCouponBond] command was introduced in Maple 15.
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Examples
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First set the global evaluation date.
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Construct the same zero-coupon bond using two different methods.
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Get the set of cash flows for your bonds.
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![[`100. on 'January 5, 2012'`]](/support/helpjp/helpview.aspx?si=8851/file01701/math226.png)
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![[`100. on 'January 5, 2012'`]](/support/helpjp/helpview.aspx?si=8851/file01701/math233.png)
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Calculate the clean price and the dirty price for your bonds using the fixed rate of 5% as the discount rate.
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Calculate the bonds' yield using the previous discount rate.
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References
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Brigo, D., Mercurio, F., Interest Rate Models: Theory and Practice. New York: Springer-Verlag, 2001.
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Glasserman, P., Monte Carlo Methods in Financial Engineering. New York: Springer-Verlag, 2004.
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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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