compute forward rates based an a given term structure
ForwardRate(termstructure, maturitytime, opts)
ForwardRate(termstructure, maturitydate, opts)
ForwardRate(termstructure, expirytime, maturitytime, opts)
ForwardRate(termstructure, expirydate, maturitydate, opts)
yield term structure; term structure
non-negative constant; maturity time in years
non-negative constant; expiry time in years
non-negative constant; maturity date
non-negative constant; expiry date
Equations of the form option = value where option is compounding; specify options for the ForwardRate command
compounding = Simple, Continuous, Annual, Semiannual, EveryFourthMonth, Quarterly, Bimonthly, Monthly, SimpleThenAnnual, SimpleThenSemiannual, SimpleThenEveryFourthMonth, SimpleThenQuarterly, SimpleThenBimonthly, or SimpleThenMonthly -- This option specifies the compounding type for the returned rate. The default value is Continuous.
The ForwardRate(termstructure, expirytime, maturitytime) and ForwardRate(termstructure, expirytime, maturitytime) calling sequences return the forward interest rate for the specified expiry and maturity. The parameter termstructure can be a zero curve, a discount curve, or a forward curve. The compounding type for the returned rate can be controlled through the corresponding option.
The ForwardRate(termstructure, maturitytime) and ForwardRate(termstructure, maturitytime) calling sequences calculate an approximation of the instantaneous forward interest rate for the maturity maturitytime or maturitydate based on the specified term structure.
In this example, create a flat zero curve with reference date set to January 5, 2006.
In this example, create a zero curve with the same parameters as above but assume that the interest rate is based on the monthly compounding.
In this example, create a zero curve based on a piecewise interpolation of zero rates. Use the default interpolation.
Brigo, D., Mercurio, F., Interest Rate Models: Theory and Practice. New York:
Hull, J., Options, Futures, and Other Derivatives, 5th. edition. Upper Saddle River, New Jersey: Prentice Hall, 2003.
The Finance[ForwardRate] command was introduced in Maple 15.
For more information on Maple 15 changes, see Updates in Maple 15.
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