The BenchmarkRate(forecast, opts) calling sequence creates a new benchmark rate with the specified calendar, day count and business day conventions.

The BenchmarkRate(tenor, units, familyname, forecast) command creates one of the standard benchmark rates (e.g. one of the LIBOR rates). In this case standard market calendar, day count and business day conventions will be used.

The parameter tenor is the length of the tenor. The parameter units specifies time units for the tenor. The parameter familyname is the family name for the benchmark index.

The parameter forecast is the forecasted rate. For dates preceding the global evaluation date historic data can be used (see the LoadHistory command). Otherwise the forecasted interest rate is used.

$\mathrm{with}\left(\mathrm{Finance}\right)\:$

$\mathrm{SetEvaluationDate}\left(''January\; 15,\; 2005''\right)\:$

$\mathrm{Settings}\left(\left[\mathrm{calendar}=\mathrm{NewYork}\,\mathrm{compounding}=\mathrm{Simple}\,\mathrm{settlementdays}=2\,\mathrm{daycounter}=\mathrm{Actual360}\,\mathrm{businessdayconvention}=\mathrm{ModifiedFollowing}\right]\right)$

$\left[\mathrm{calendar}=\mathrm{Null}\,\mathrm{compounding}=\mathrm{Continuous}\,\mathrm{settlementdays}=0\,\mathrm{daycounter}=\mathrm{Historical}\,\mathrm{businessdayconvention}=\mathrm{Unadjusted}\right]$

$\mathrm{benchmark}≔\mathrm{BenchmarkRate}\left(6\,\mathrm{Months}\,\mathrm{USDLIBOR}\,\mathrm{ForwardCurve}\left(0.07\,\mathrm{compounding}=\mathrm{Continuous}\right)\right)$

$\mathrm{benchmark}≔\mathbf{module}\left(\right)\mathbf{end\; module}$

$\mathrm{benchmark}\left(''January\; 11,\; 2005''\right)$

Error, (in call_proc) USDLibor6m act/360 history not loaded

$\mathrm{LoadHistory}\left(\mathrm{benchmark}\,''January\; 08,\; 2005''\,\left[0.01\,0.02\,0.03\,0.04\,0.05\,0.06\,0.07\right]\right)\:$

$\mathrm{benchmark}\left(''January\; 11,\; 2005''\right)$

$0.04000000000$

$\mathrm{benchmark}\left(''January\; 10,\; 2005''\right)$

$0.03000000000$

$\mathrm{benchmark}\left(''January\; 14,\; 2005''\right)$

$0.07000000000$

$\mathrm{benchmark}\left(''January\; 16,\; 2005''\right)$

$0.07124638451$

$\mathrm{rate}≔\mathrm{benchmark}\left(''January\; 17,\; 2005''\right)$

$\mathrm{rate}≔0.07124638451$

$\mathrm{fixingdate}≔\mathrm{AdvanceDate}\left(''Jan-17-2005''\,2\,\mathrm{Days}\right)$

$\mathrm{fixingdate}≔''Jan-19-2005''$

$\mathrm{maturitydate}≔\mathrm{AdvanceDate}\left(\mathrm{fixingdate}\,6\,\mathrm{Months}\right)$

$\mathrm{maturitydate}≔''Jul-19-2005''$

$\mathrm{EquivalentRate}\left(0.07\,\mathrm{Continuous}\,\mathrm{Simple}\,\mathrm{fixingdate}\,\mathrm{maturitydate}\right)$

$0.07124638451$

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

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