return the net present value of future cash flows
NetPresentValue(cashflows, discountrate, opts)
cash flow swap or an interest rate swap; financial instrument
data structure created using the SimpleCashFlow constructor or a list of such data structures; cash flows
non-negative constant or a yield term structure; discount rate
equations of the form option = value where option is one of referencedate or daycounter; specify options for the NetPresentValue command
daycounter = a string containing a date specification in a format recognized by ParseDate or a Date data structure -- This option specifies a day counter or day counting convention.
referencedate = a string containing a date specification in a format recognized by ParseDate or a Date data structure -- This option specifies the reference date, that is, the date when the discount factor is 1. By default this is set to the global evaluation date.
The NetPresentValue(instrument) calling sequence returns the net present value of the given instrument. The parameter instrument in this case can be either a cash flow swap or an interest rate swap. For bonds the net present value is the same as the dirty price (see DirtyPrice).
The NetPresentValue(cashflows, discountrate, opts) calling sequence returns the net present value for the future cash flows discounted with respect to the given discount rate.
First set the global evaluation date.
SetEvaluationDate⁡January 01, 2005:
January 1, 2005
Calculate the net present value of 100 dollars to be paid on January 2, 2007.
paymentdate ≔ Jan-02-2007
cashflow1 ≔ SimpleCashFlow⁡100,paymentdate
cashflow1≔100. on January 2, 2007
Here is another example.
nominalamt ≔ 100
rate ≔ 0.05
paymentdate ≔ Jan-01-2015
startdate ≔ Jan-01-2006
enddate ≔ Jan-01-2010
coupon ≔ FixedRateCoupon⁡nominalamt,rate,startdate,enddate,paymentdate
coupon≔20. on January 1, 2015
Compute the value of this cash flow on January 1, 2005.
Here is another way to compute this. First, compute the accrued interest.
accrued ≔ nominalamt⁢CompoundFactor⁡rate,enddate,referencedate=startdate,compounding='Simple'−nominalamt
This is the value to be received on January 1, 2010. Discount this value using the discount rate.
Compute with a difference day counter.
The Finance[NetPresentValue] command was introduced in Maple 15.
For more information on Maple 15 changes, see Updates in Maple 15.
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