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Finance[FixedRateCoupon] - construct a fixed rate coupon on a term structure
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Calling Sequence
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FixedRateCoupon(nominal, rate, startdate, enddate, paymentdate, opts)
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Parameters
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nominal
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non-negative constant; nominal value
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rate
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non-negative constant; coupon rate
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startdate
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a string containing a date specification in a format recognized by ParseDate or a date data structure; accrual start date
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enddate
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a string containing a date specification in a format recognized by ParseDate or a date data structure; accrual end date
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paymentdate
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a string containing a date specification in a format recognized by ParseDate or a date data structure; payment date
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opts
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equations of the form option = value where option is daycounter; specify options for the FixedRateCoupon command
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Description
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The FixedRateCoupon command constructs a coupon paying a fixed interest rate on the given date.
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The interest is accrued between startdate and enddate based on simple compounding.
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The optional parameter paymentdate can be used to specify when the accrued interest will be payed. By default paymentdate is equal to enddate.
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Options
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daycounter = Actual360, Actual365Fixed, AFB, Bond, Euro, Historical, ISDA, ISMA, OneDay, Simple, Thirty360BondBasis, Thirty360EuroBondBasis, Thirty360European, Thirty360Italian, Thirty360USA, or a day counter data structure; convention used to convert the amount of time between two dates to year fractions
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Compatibility
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The Finance[FixedRateCoupon] command was introduced in Maple 15.
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Examples
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First set the global evaluation date to January 1, 2005.
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Construct a coupon that pays the fixed rate of 5%. The accrual period starts on January 3, 2006 and ends on January 3, 2010.
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Compute the value of this cash flow on January 3, 2005.
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Here is another way to compute this. First, compute the accrued interest.
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This is the value to be received on January 3, 2010. You must discount this value using the discount rate.
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This is the value of the same cash flow on January 3, 2004.
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Calculate the net present value of the set of two cash flows.
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![NetPresentValue([coupon, coupon2], 0.3e-1)](/support/helpjp/helpview.aspx?si=8830/file01625/math322.png)
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See Also
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Finance[CompoundFactor], Finance[DiscountFactor], Finance[FixedCouponBond], Finance[FloatingRateBond], Finance[InArrearIndexedCoupon], Finance[NetPresentValue], Finance[ParCoupon], Finance[ParseDate], Finance[SimpleCashFlow], Finance[UpFrontIndexedCoupon], Finance[ZeroCouponBond], Finance[ZeroCurve]
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