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Finance[InterestRateSwap] - create new interest-rate swap
Calling Sequence
InterestRateSwap(nominal, fixedrate, fixedschedule, floatrate, floatschedule, spread, opts)
InterestRateSwap(nominal, floatrate, floatschedule, fixedrate, fixedschedule, spread, opts)
Parameters
nominal
-
non-negative constant; nominal amount
fixedrate
non-negative constant; fixed-leg rate
fixedschedule
payment schedule (see Schedule); fixed-leg schedule
floatrate
benchmark rate (see BenchmarkRate) ; floating-leg rate
floatschedule
payment schedule (see Schedule); floating-leg schedule
spread
non-negative constant; swap spread
opts
(optional) equation(s) of the form option = value where option is daycounter; specify options for the InterestRateSwap command
Description
The InterestRateSwap command constructs a simple interest rate swap. This is a contract that exchanges payments between two different indexed legs starting at some future time.
The parameter fixedschedule defines a payment schedule for the fixed leg. Assume that fixedschedule consists of times , , ..., . At every date the fixed leg pays the amount
where is the fixed interest rate, is the nominal value, and is the year fraction between dates and .
The parameter floatschedule defines a payment schedule for the floating leg. Assume that floatschedule consists of dates , , ..., . At every date the floating leg pays the amount
where is the benchmark rate (for example, LIBOR rate), reset at the time .
The option daycounter specifies the day count convention used by the fixed leg. The day count convention used by the floating leg is implicitly defined by the corresponding benchmark rate.
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 can be used to specify a day count convention used by the fixed leg.
Compatibility
The Finance[InterestRateSwap] command was introduced in Maple 15.
For more information on Maple 15 changes, see Updates in Maple 15.
Examples
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.
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[BasisPointSensitivity], Finance[BenchmarkRate], Finance[CashFlows], Finance[NetPresentValue], Finance[Swap]
Download Help Document
