ParCoupon - Maple Help

Finance

 ParCoupon
 construct a coupon at par on a term structure

 Calling Sequence ParCoupon(nominal, rate, startdate, enddate, paymentdate)

Parameters

 nominal - non-negative constant; nominal value rate - non-negative constant, yield term structure or benchmark rate; rate startdate - a string containing a date specification in a format recognized by ParseDate or a date data structure; accrual start date enddate - a string containing a date specification in a format recognized by ParseDate or a date data structure; accrual end date paymentdate - a string containing a date specification in a format recognized by ParseDate or a date data structure; payment date

Description

 • The ParCoupon command constructs a coupon at par on a term structure.
 • The interest is accrued between startdate and enddate.
 • The optional parameter paymentdate can be used to specify when the accrued interest will be payed. By default paymentdate is equal to enddate.

Examples

 > $\mathrm{with}\left(\mathrm{Finance}\right):$
 > $\mathrm{SetEvaluationDate}\left("January 1, 2005"\right):$
 > $\mathrm{EvaluationDate}\left(\right)$
 ${"January 1, 2005"}$ (1)
 > $\mathrm{paymentdate}≔"January 1, 2015"$
 ${\mathrm{paymentdate}}{≔}{"January 1, 2015"}$ (2)
 > $\mathrm{startdate}≔"January 1, 2006"$
 ${\mathrm{startdate}}{≔}{"January 1, 2006"}$ (3)
 > $\mathrm{enddate}≔"January 1, 2010"$
 ${\mathrm{enddate}}{≔}{"January 1, 2010"}$ (4)
 > $\mathrm{rate}≔\mathrm{BenchmarkRate}\left(6,\mathrm{Months},\mathrm{USDLIBOR},0.05\right)$
 ${\mathrm{rate}}{≔}{\mathbf{module}}\left({}\right)\phantom{\rule[-0.0ex]{0.5em}{0.0ex}}{}\phantom{\rule[-0.0ex]{0.5em}{0.0ex}}{\mathbf{end module}}$ (5)
 > $\mathrm{coupon}≔\mathrm{ParCoupon}\left(100,\mathrm{rate},\mathrm{startdate},\mathrm{enddate},\mathrm{paymentdate}\right)$
 ${\mathrm{coupon}}{≔}{\mathrm{22.15700851 on January 1, 2015}}$ (6)
 > $\mathrm{FormatDate}\left(\mathrm{coupon}\left[\mathrm{date}\right]\right)$
 ${"January 1, 2015"}$ (7)
 > $\mathrm{coupon}\left[\mathrm{amount}\right]$
 ${22.15700851}$ (8)
 > $\mathrm{NetPresentValue}\left(\mathrm{coupon},0.05\right)$
 ${13.43890499}$ (9)

Compatibility

 • The Finance[ParCoupon] command was introduced in Maple 15.