|
Finance[DiscountBondPrice] - calculate a discount bond price
|
|
Calling Sequence
|
|
DiscountBondPrice(model, maturity, rate, opts)
|
|
|
Parameters
|
|
|
model
|
-
|
affine one-factor model of interest rates
|
|
rate
|
-
|
the given interest rate
|
|
maturity
|
-
|
non-negative constant or a list of non-negative constants; time(s) to maturity
|
|
opts
|
-
|
equations of the form option = value where option is output; specify options for the DiscountBondPrice command
|
|
|
|
|
|
Description
|
|
|
•
|
The DiscountBondPrice command calculates the discount bond price in the given affine interest rate model.
|
|
|
|
Options
|
|
|
•
|
output = discount or zerorate; output type
|
|
|
|
Compatibility
|
|
|
•
|
The Finance[DiscountBondPrice] command was introduced in Maple 15.
|
|
|
|
Examples
|
|
|
>
|
|
|
>
|
|
|
| (1) |
|
>
|
|
|
| (2) |
|
>
|
![T := [seq(.6*i, i = 0 .. 50)]](/support/helpjp/helpview.aspx?si=8860/file01610/math133.png)
|
|
![T := [0., .6, 1.2, 1.8, 2.4, 3.0, 3.6, 4.2, 4.8, 5.4, 6.0, 6.6, 7.2, 7.8, 8.4, 9.0, 9.6, 10.2, 10.8, 11.4, 12.0, 12.6, 13.2, 13.8, 14.4, 15.0, 15.6, 16.2, 16.8, 17.4, 18.0, 18.6, 19.2, 19.8, 20.4, 21.0, 21.6, 22.2, 22.8, 23.4, 24.0, 24.6, 25.2, 25.8, 26.4, 27.0, 27.6, 28.2, 28.8, 29.4, 30.0]](/support/helpjp/helpview.aspx?si=8860/file01610/math136.png)
| (3) |
|
>
|
|
|
![S := RTABLE(18446790986270129198, float[8], Array, rectangular, C_order, [], 2, 1 .. 1, 1 .. 51)](/support/helpjp/helpview.aspx?si=8860/file01610/math143.png)
| (4) |
|
>
|
|
|
>
|
, xcoords = T, axes = BOXED, thickness = 3, markers = false), i = 1 .. 51)](/support/helpjp/helpview.aspx?si=8860/file01610/math156.png)
|
|
>
|
](/support/helpjp/helpview.aspx?si=8860/file01610/math160.png)
|
|
|
|
References
|
|
|
|
Brigo, D., Mercurio, F., Interest Rate Models: Theory and Practice. New York: Springer-Verlag, 2001.
|
|
|
