create new zero-coupon bond
ZeroCouponBond(redemptionvalue, term, units, opts)
ZeroCouponBond(redemptionvalue, maturity, opts)
positive constant; bond's redemption value
positive integer; time to maturity in time units
Days, Weeks, Months, or Years; time units
a date specified in a format recognized by the ParseDate command; maturity date
(optional) equation(s) of the form option = value where option is one of calendar, convention, daycounter, issuedate, or settlementdays; specify options for the ZeroCouponBond command
calendar = a name representing a supported calendar (e.g. Toronto, NewYork) or a calendar data structure created using the Calendar constructor -- This option can be used to specify the underlying calendar.
convention = Unadjusted, Preceding, ModifiedPreceding, Following, ModifiedFollowing, or MonthEndReference -- This option can be used to specify business day conventions. The default value is Following.
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 provides a day counter that will be used to convert the period between two dates to a fraction of the year.
issuedate = a string containing a date specification in a format recognized by ParseDate or a date data structure -- This option provides the issue date of a bond. It is set to the global evaluation date by default.
settlementdays = positive integer -- This option specifies the number of settlement days. The default value is 1.
The ZeroCouponBond command creates a new zero-coupon bond with the specified redemption value and maturity. It is assumed that the redemption value is equal to the face value of the bond.
First set the global evaluation date.
SetEvaluationDate⁡January 05, 2007:
Construct the same zero-coupon bond using two different methods.
Maturity ≔ AdvanceDate⁡EvaluationDate⁡,5,'Years'
Maturity≔January 5, 2012
B1 ≔ ZeroCouponBond⁡100,5,Years
B1 ≔ moduleend module
B2 ≔ ZeroCouponBond⁡100,Maturity
B2 ≔ moduleend module
Get the set of cash flows for your bonds.
100. on 'January 5, 2012'
Calculate the clean price and the dirty price for your bonds using the fixed rate of 5% as the discount rate.
cleanprice1 ≔ CleanPrice⁡B1,0.05
dirtyprice1 ≔ DirtyPrice⁡B1,0.05
cleanprice2 ≔ CleanPrice⁡B2,0.05
dirtyprice2 ≔ DirtyPrice⁡B2,0.05
Calculate the bonds' yield using the previous discount rate.
Brigo, D., Mercurio, F., Interest Rate Models: Theory and Practice. New York: Springer-Verlag, 2001.
Glasserman, P., Monte Carlo Methods in Financial Engineering. New York: Springer-Verlag, 2004.
Hull, J., Options, Futures, and Other Derivatives, 5th. edition. Upper Saddle River, New Jersey: Prentice Hall, 2003.
The Finance[ZeroCouponBond] command was introduced in Maple 15.
For more information on Maple 15 changes, see Updates in Maple 15.
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