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Finance[BasisPointSensitivity] - return the basis point sensitivity of future cash flows
Calling Sequence
BasisPointSensitivity(cashflows, discount, opts)
BasisPointSensitivity(swap, discount, opts)
Parameters
cashflows
-
data structure created using the SimpleCashFlow constructor or a list of such data structures; cash flows
swap
cash flow swap or interest rate swap data structure; swap
discount
non-negative constant or a yield term structure; discount rate
opts
equations of the form option = sensitivity where option is one of referencedate or daycounter; specify options for the BasisPointSensitivity command
Description
The BasisPointSensitivity(cashflows, discount, opts) calling sequence returns the basis point sensitivity for the future cash flows discounted with respect to the given discount rate.
The BasisPointSensitivity(swap, discount, opts) calling sequence returns a list containing the basis point sensitivities of the paying leg and the receiving leg of the given swap.
Note that the result is returned in basis points, that is in 1/100th of 1%.
Options
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.
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 (see EvaluationDate).
Compatibility
The Finance[BasisPointSensitivity] command was introduced in Maple 15.
For more information on Maple 15 changes, see Updates in Maple 15.
Examples
First set the global evaluation date.
Calculate the basis point sensitivity of 100 dollars to be paid on January 2, 2007.
Here is another example.
Compute the sensitivity of this cash flow on January 1, 2005.
The following example computes the basis point sensitivity for an interest rate swap.
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.
Consider two simple swaps that exchange the first set of payments for the second set.
Compute the basis point sensitivity.
Here is the set of cash flows for the paying leg of each swap.
Here is the set of cash flows for the receiving leg.
See Also
Finance[CompoundFactor], Finance[DayCounter], Finance[DiscountFactor], Finance[FixedRateCoupon], Finance[InArrearIndexedCoupon], Finance[InterestRateSwap], Finance[ParCoupon], Finance[ParseDate], Finance[SimpleCashFlow], Finance[Swap], Finance[UpFrontIndexedCoupon], Finance[ZeroCurve]
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