create a benchmark rate
BenchmarkRate(tenor, units, familyname, forecast)
positive integer; length of the tenor
Days, Weeks, Months, or Years; time units
family name; can be one of the following: AUDLIBOR, CADLIBOR, CDOR, CHFLIBOR, DKKLIBOR, EURIBOR, GBPLIBOR, JIBAR, JPYLIBOR, NZDLIBOR, TIBOR, TRLIBOR, USDLIBOR, ZIBOR
yield term structure; forecasted rate or term structure
The BenchmarkRate(forecast, opts) calling sequence creates a new benchmark rate with the specified calendar, day count and business day conventions.
The BenchmarkRate(tenor, units, familyname, forecast) command creates one of the standard benchmark rates (e.g. one of the LIBOR rates). In this case standard market calendar, day count and business day conventions will be used.
The parameter tenor is the length of the tenor. The parameter units specifies time units for the tenor. The parameter familyname is the family name for the benchmark index.
The parameter forecast is the forecasted rate. For dates preceding the global evaluation date historic data can be used (see the LoadHistory command). Otherwise the forecasted interest rate is used.
SetEvaluationDate⁡January 15, 2005:
Set defaults assumed by the USDLIBOR rate.
Create a 6-month USD LIBOR rate and use float rate of 7% as forecast.
benchmark ≔ BenchmarkRate⁡6,Months,USDLIBOR,ForwardCurve⁡0.07,compounding=Continuous
benchmark ≔ moduleend module
This will throw an error since not historic data is available to the given benchmark rate. On the other hand, the forecasted interest rate is used only for dates after the global evaluation date.
benchmark⁡January 11, 2005
Error, (in call_proc) USDLibor6m act/360 history not loaded
Load history for this rate.
LoadHistory⁡benchmark,January 08, 2005,0.01,0.02,0.03,0.04,0.05,0.06,0.07:
Note that historic data is used only for dates preceding the global evaluation date. Otherwise the forecasted interest rate is used.
benchmark⁡January 10, 2005
benchmark⁡January 14, 2005
benchmark⁡January 16, 2005
rate ≔ benchmark⁡January 17, 2005
fixingdate ≔ AdvanceDate⁡Jan-17-2005,2,Days
maturitydate ≔ AdvanceDate⁡fixingdate,6,Months
The Finance[BenchmarkRate] command was introduced in Maple 15.
For more information on Maple 15 changes, see Updates in Maple 15.
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