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 , , ..., . At every date  the fixed leg pays the amount

The parameter floatschedule defines a payment schedule for the floating leg. Assume that floatschedule consists of dates , , ..., . At every date  the floating leg pays the amount

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.

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.

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

For more information on Maple 15 changes, see Updates in Maple 15.