calculate an interest rate implied by the given compound factor
ImpliedRate(compound, interval, compounding)
ImpliedRate(compound, startdate, enddate, compounding, opts)
non-negative constant, list(non-negative), or Vector greater or equal to 1; compound factor
non-negative constant, list(non-negative), or Vector; length of the compounding interval in years
Annual, Bimonthly, Continuous, EveryFourthMonth, Monthly, Quarterly, Semiannual, Simple, SimpleThenAnnual, SimpleThenBimonthly, SimpleThenEveryFourthMonth, SimpleThenMonthly, SimpleThenQuarterly, or SimpleThenSemiannual; compounding type for the desired interest rate
a string containing a date specification in a format recognized by ParseDate or a Date data structure; start of the compounding interval
a string containing a date specification in a format recognized by ParseDate or a Date data structure; end of the compounding interval
equation of the form option = value where option is daycounter; specify options for the ImpliedRate command
daycounter = Actual360, Actual365Fixed, AFB, Bond, Euro, Historical, ISDA, ISMA, OneDay, Simple, Thirty360BondBasis, Thirty360EuroBondBasis, Thirty360European, Thirty360Italian, Thirty360USA, or a day counter data structure -- This option specifies the convention used to convert the duration between two dates to year fractions.
The ImpliedRate(compound, interval, compounding) calling sequence calculates an interest rate implied by the given compound factor, for the specified compounding interval and compounding type. The parameter compound is the compound factor; it should be a constant greater than or equal to 1. The parameter interval is the length of the compounding period. These can also be entered as lists, in which case an array of their combinations is returned. Alternatively, one can specify the compounding interval by giving the start date, end date and a day count convention. The compounding parameter is the compounding type.
rate1 ≔ 0.06:
compound1 ≔ CompoundFactor⁡rate1,1.0,compounding=Monthly
rate2 ≔ ImpliedRate⁡compound1,1.0,Monthly
cmpdlist ≔ 1.2,1.05,1.8:
timelist ≔ 0.2,2.5,3.2:
ratelist ≔ ImpliedRate⁡cmpdlist,timelist,Monthly
rate3 ≔ ZeroCurve⁡0.05,referencedate=January 2, 2005
compound3 ≔ CompoundFactor⁡rate3,January 2, 2006
ImpliedRate⁡compound3,January 2, 2005,January 2, 2006,Continuous
ImpliedRate⁡compound3,January 2, 2005,January 2, 2006,Monthly
ImpliedRate⁡compound3,January 2, 2005,July 5, 2005,Simple,daycounter=Historical
ImpliedRate⁡compound3,January 2, 2005,July 5, 2005,Simple,daycounter=Thirty360USA
Brigo, D., Mercurio, F., Interest Rate Models: Theory and Practice. New York: Springer-Verlag, 2001.
Hull, J., Options, Futures, and Other Derivatives, 5th. edition. Upper Saddle River, New Jersey: Prentice Hall, 2003.
Kellison, S.G., Theory of Interest, 2nd edition, Irwin: McGraw-Hill, 1991.
The Finance[ImpliedRate] command was introduced in Maple 15.
For more information on Maple 15 changes, see Updates in Maple 15.
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