|
Finance[Swap] - construct a swap instrument
|
|
Calling Sequence
|
|
Swap(firstleg, secondleg)
|
|
|
Parameters
|
|
|
firstleg
|
-
|
list of cash flows; paying leg
|
|
secondleg
|
-
|
list of cash flows; receiving leg
|
|
|
|
|
|
Description
|
|
|
•
|
The Swap command constructs an instrument that swaps one set of cash flows with another set.
|
|
|
|
Compatibility
|
|
|
•
|
The Finance[Swap] command was introduced 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.
|
>
|
|
|
| (1) |
|
>
|
|
|
| (2) |
|
>
|
|
|
| (3) |
|
>
|
|
|
| (4) |
Consider two simple swaps that exchange the first set of payments for the second set.
|
>
|
|
|
| (5) |
|
>
|
|
|
| (6) |
|
>
|
|
|
| (7) |
|
>
|
|
|
| (8) |
You can implement the above instrument as an ordinary swap using explicit cash flows. Here is the set of cash flows for the paying leg of each swap.
|
>
|
|
|
| (9) |
|
>
|
|
|
| (10) |
Here is the set of cash flows for the receiving leg.
|
>
|
|
|
| (11) |
|
>
|
|
|
| (12) |
|
>
|
|
|
| (13) |
|
>
|
|
|
| (14) |
|
>
|
|
|
| (15) |
|
>
|
|
|
| (16) |
|
|
Download Help Document
Was this information helpful?
