evaluationdate = a string containing a date specification in a format recognized by ParseDate or a Date data structure -- This option specifies the evaluation date. By default this is set to the global evaluation date (see EvaluationDate).

The CleanPrice command computes the clean price of a bond, given its yield. Clean price does not include any accrued interest that has accumulated since the last coupon payment.

The parameter bond is either a fixed coupon bond or floating rate bond. The parameter yield is the desired yield.

with(Finance):

SetEvaluationDate("November 25, 2006"):

EvaluationDate();

$''November\; 25,\; 2006''$

Settings([daycounter = Historical, settlementdays = 0, businessdayconvention = Unadjusted, compounding = Continuous]);

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

bond1 := ZeroCouponBond(100, 5, Years):

price1 := CleanPrice(bond1, 0.05, Compounded);

$\mathrm{price1}≔78.35261665$

100*DiscountFactor(0.05, 5, compounding = Annual);

$78.35261665$

100*(1/1.05)^5;

$78.35261665$

yield1 := YieldFromCleanPrice(bond1, price1);

$\mathrm{yield1}≔0.04879016417$

EquivalentRate(yield1, Continuous, Annual);

$0.05000000000$

yield1 := YieldFromCleanPrice(bond1, price1, Compounded);

$\mathrm{yield1}≔0.05000000006$

Settings(daycounter = Thirty360European):

Settings(daycounter);

$\mathrm{Thirty360European}$

principal2 := 100:

coupon2 := 0.03:

rate2 := 0.05:

bond2 := FixedCouponBond(principal2, 3, Years, coupon2, issuedate = "March 17, 2005"):

yield2 := YieldFromCleanPrice(bond2, 100, Compounded);

$\mathrm{yield2}≔0.02992505925$

cleanprice2 := CleanPrice(bond2, yield2, Compounded);

$\mathrm{cleanprice2}≔100.0000000$

YieldFromCleanPrice(bond2, cleanprice2);

$0.02948604163$

CleanPrice(bond2, rate2);

$97.35137029$

dirtyprice2 := DirtyPrice(bond2, rate2);

$\mathrm{dirtyprice2}≔99.41803696$

YieldFromDirtyPrice(bond2, dirtyprice2);

$0.05000000002$

bond3 := FixedCouponBond(principal2, 3, Years, coupon2, issuedate = "March 17, 2005", frequency = Semiannual):

yield3 := YieldFromCleanPrice(bond3, 100, Compounded);

$\mathrm{yield3}≔0.02997946101$

cleanprice3 := CleanPrice(bond3, yield3, Compounded);

$\mathrm{cleanprice3}≔100.0000000$

YieldFromCleanPrice(bond3, cleanprice3);

$0.02975698958$

CleanPrice(bond3, rate2);

$97.41008628$

dirtyprice3 := DirtyPrice(bond3, rate2);

$\mathrm{dirtyprice3}≔97.97675295$

YieldFromDirtyPrice(bond3, dirtyprice3);

$0.05000000002$

dirtyprice3 := DirtyPrice(bond3, rate2, Compounded);

$\mathrm{dirtyprice3}≔98.05440635$

cashflows3 := CashFlows(bond3);

$\mathrm{cashflows3}≔\left[\mathrm{1.500000000\; on\; \text{'}March\; 17,\; 2007\text{'}}\,\mathrm{1.500000000\; on\; \text{'}September\; 17,\; 2007\text{'}}\,\mathrm{1.500000000\; on\; \text{'}March\; 17,\; 2008\text{'}}\,\mathrm{100.\; on\; \text{'}March\; 17,\; 2008\text{'}}\right]$

add(t[amount]*DiscountFactor(rate2, t[date], compounding = Semiannual), t in cashflows3);

$98.05440635$

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

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