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Finance[FairSpread] - return the fair spread of interest rate swap
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Calling Sequence
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FairSpread(swap, discountrate)
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Parameters
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swap
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swap data structure; interest rate swap
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discount
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non-negative constant of a yield term structure; discount rate
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Description
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The FairSpread command returns the fair spread of the given interest rate swap.
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Compatibility
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The Finance[FairSpread] command was introduced in Maple 15.
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Examples
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Consider two payment schedules. The first one consists of payments of 5% of the nominal every month between January 3, 2008 and January 3, 2018. The second one consists of payments of 3% of the nominal every quarter between January 3, 2010 and January 3, 2015.
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Consider two simple swaps that exchange the first set of payments with the second set.
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Consider the same simple swaps that use the fair spread.
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