The ZeroCouponBond command creates a new zero-coupon bond with the specified redemption value and maturity. It is assumed that the redemption value is equal to the face value of the bond.

calendar = a name representing a supported calendar (e.g. Toronto, NewYork) or a calendar data structure created using the Calendar constructor -- This option can be used to specify the underlying calendar.

convention =  Unadjusted, Preceding, ModifiedPreceding, Following, ModifiedFollowing, or MonthEndReference -- This option can be used to specify business day conventions. The default value is Following.

daycounter = a name representing a supported day counter (e.g. ISDA, Simple) or a day counter data structure created using the DayCounter constructor -- This option provides a day counter that will be used to convert the period between two dates to a fraction of the year.

issuedate = a string containing a date specification in a format recognized by ParseDate or a date data structure -- This option provides the issue date of a bond. It is set to the global evaluation date by default.

settlementdays = positive integer -- This option specifies the number of settlement days. The default value is 1.

The Finance[ZeroCouponBond] command was introduced in Maple 15.

For more information on Maple 15 changes, see Updates in Maple 15.

Brigo, D., Mercurio, F., Interest Rate Models: Theory and Practice. New York: Springer-Verlag, 2001.

Glasserman, P., Monte Carlo Methods in Financial Engineering. New York: Springer-Verlag, 2004.

Hull, J., Options, Futures, and Other Derivatives, 5th. edition. Upper Saddle River, New Jersey: Prentice Hall, 2003.