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Finance[BasisPointSensitivity] - return the basis point sensitivity of future cash flows
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Calling Sequence
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BasisPointSensitivity(cashflows, discount, opts)
BasisPointSensitivity(swap, discount, opts)
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Parameters
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cashflows
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data structure created using the SimpleCashFlow constructor or a list of such data structures; cash flows
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swap
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cash flow swap or interest rate swap data structure; swap
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discount
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non-negative constant or a yield term structure; discount rate
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opts
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equations of the form option = sensitivity where option is one of referencedate or daycounter; specify options for the BasisPointSensitivity command
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Description
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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.
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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.
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Note that the result is returned in basis points, that is in 1/100th of 1%.
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Options
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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.
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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).
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Compatibility
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The Finance[BasisPointSensitivity] command was introduced in Maple 15.
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Examples
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First set the global evaluation date.
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Calculate the basis point sensitivity of 100 dollars to be paid on January 2, 2007.
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Here is another example.
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Compute the sensitivity of this cash flow on January 1, 2005.
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The following example computes the basis point sensitivity for an interest rate swap.
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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 for the second set.
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Compute the basis point sensitivity.
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![[-7468.989624, 3783.492266]](/support/helpjp/helpview.aspx?si=8824/file01575/math300.png)
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![[-3783.492266, 7468.989624]](/support/helpjp/helpview.aspx?si=8824/file01575/math307.png)
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Here is the set of cash flows for the paying leg of each swap.
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Here is the set of cash flows for the receiving leg.
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See Also
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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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