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.

referencedate =  a string containing a date specification in a format recognized by ParseDate or a Date data structure -- This option specifies the reference date, that is, the date when the discount factor is 1. By default this is set to the global evaluation date (see EvaluationDate).

The BasisPointSensitivity(cashflows, discount, opts) calling sequence returns the basis point sensitivity for the future cash flows discounted with respect to the given discount rate.

The BasisPointSensitivity(swap, discount, opts) calling sequence returns a list containing the basis point sensitivities of the paying leg and the receiving leg of the given swap.

Note that the result is returned in basis points, that is in 1/100th of 1%.

$\mathrm{with}\left(\mathrm{Finance}\right)\:$

$\mathrm{SetEvaluationDate}\left(''January\; 01,\; 2005''\right)\:$

$\mathrm{EvaluationDate}\left(\right)$

$''January\; 1,\; 2005''$

$\mathrm{paymentdate}≔''Jan-02-2007''$

$\mathrm{paymentdate}≔''Jan-02-2007''$

$\mathrm{cashflow1}≔\mathrm{SimpleCashFlow}\left(100\,\mathrm{paymentdate}\right)$

$\mathrm{cashflow1}≔\mathrm{100.\; on\; January\; 2,\; 2007}$

$\mathrm{BasisPointSensitivity}\left(\mathrm{cashflow1}\,0.03\right)$

$0.$

$\mathrm{nominalamt}≔100$

$\mathrm{nominalamt}≔100$

$\mathrm{rate}≔0.05$

$\mathrm{rate}≔0.05$

$\mathrm{paymentdate}≔''Jan-01-2015''$

$\mathrm{paymentdate}≔''Jan-01-2015''$

$\mathrm{startdate}≔''Jan-01-2006''$

$\mathrm{startdate}≔''Jan-01-2006''$

$\mathrm{enddate}≔''Jan-01-2010''$

$\mathrm{enddate}≔''Jan-01-2010''$

$\mathrm{coupon}≔\mathrm{FixedRateCoupon}\left(\mathrm{nominalamt}\,\mathrm{rate}\,\mathrm{startdate}\,\mathrm{enddate}\,\mathrm{paymentdate}\right)$

$\mathrm{coupon}≔\mathrm{20.\; on\; January\; 1,\; 2015}$

$\mathrm{BasisPointSensitivity}\left(\mathrm{coupon}\,0.03\right)$

$296.3272883$

$\mathrm{SetEvaluationDate}\left(''January\; 02,\; 2007''\right)\:$

$\mathrm{EvaluationDate}\left(\right)$

$''January\; 2,\; 2007''$

$\mathrm{schedule1}≔\mathrm{Schedule}\left(''January\; 03,\; 2008''\,''January\; 03,\; 2018''\,\mathrm{Monthly}\right)$

$\mathrm{schedule1}≔\mathbf{module}\left(\right)\mathbf{end\; module}$

$\mathrm{schedule2}≔\mathrm{Schedule}\left(''January\; 03,\; 2010''\,''January\; 03,\; 2015''\,\mathrm{Quarterly}\right)$

$\mathrm{schedule2}≔\mathbf{module}\left(\right)\mathbf{end\; module}$

$\mathrm{rate1}≔0.05$

$\mathrm{rate1}≔0.05$

$\mathrm{rate2}≔\mathrm{BenchmarkRate}\left(0.03\right)$

$\mathrm{rate2}≔\mathbf{module}\left(\right)\mathbf{end\; module}$

$\mathrm{swap1}≔\mathrm{InterestRateSwap}\left(1000\,\mathrm{rate1}\,\mathrm{schedule1}\,\mathrm{rate2}\,\mathrm{schedule2}\,0.03\right)$

$\mathrm{swap1}≔\mathbf{module}\left(\right)\mathbf{end\; module}$

$\mathrm{swap2}≔\mathrm{InterestRateSwap}\left(1000\,\mathrm{rate2}\,\mathrm{schedule2}\,\mathrm{rate1}\,\mathrm{schedule1}\,0.03\right)$

$\mathrm{swap2}≔\mathbf{module}\left(\right)\mathbf{end\; module}$

$\mathrm{BasisPointSensitivity}\left(\mathrm{swap1}\,0.05\right)$

$\left[\mathrm{-7468.989624}\,3783.492266\right]$

$\mathrm{BasisPointSensitivity}\left(\mathrm{swap2}\,0.05\right)$

$\left[\mathrm{-3783.492266}\,7468.989624\right]$

$\mathrm{payingleg1}≔\mathrm{CashFlows}\left(\mathrm{swap1}\,\mathrm{paying}\right)\:$

$\mathrm{payingleg2}≔\mathrm{CashFlows}\left(\mathrm{swap2}\,\mathrm{paying}\right)\:$

$\mathrm{receivingleg1}≔\mathrm{CashFlows}\left(\mathrm{swap1}\,\mathrm{receiving}\right)$

$\mathrm{receivingleg1}≔\left[\mathrm{14.82194787\; on\; \text{'}April\; 3,\; 2010\text{'}}\,\mathrm{14.98694508\; on\; \text{'}July\; 3,\; 2010\text{'}}\,\mathrm{15.15194910\; on\; \text{'}October\; 3,\; 2010\text{'}}\,\mathrm{15.15194910\; on\; \text{'}January\; 3,\; 2011\text{'}}\,\mathrm{14.82194787\; on\; \text{'}April\; 3,\; 2011\text{'}}\,\mathrm{14.98694508\; on\; \text{'}July\; 3,\; 2011\text{'}}\,\mathrm{15.15194910\; on\; \text{'}October\; 3,\; 2011\text{'}}\,\mathrm{15.15127369\; on\; \text{'}January\; 3,\; 2012\text{'}}\,\mathrm{14.94592054\; on\; \text{'}April\; 3,\; 2012\text{'}}\,\mathrm{14.94592054\; on\; \text{'}July\; 3,\; 2012\text{'}}\,\mathrm{15.11047204\; on\; \text{'}October\; 3,\; 2012\text{'}}\,\mathrm{15.11114744\; on\; \text{'}January\; 3,\; 2013\text{'}}\,\mathrm{14.82194787\; on\; \text{'}April\; 3,\; 2013\text{'}}\,\mathrm{14.98694508\; on\; \text{'}July\; 3,\; 2013\text{'}}\,\mathrm{15.15194910\; on\; \text{'}October\; 3,\; 2013\text{'}}\,\mathrm{15.15194910\; on\; \text{'}January\; 3,\; 2014\text{'}}\,\mathrm{14.82194787\; on\; \text{'}April\; 3,\; 2014\text{'}}\,\mathrm{14.98694508\; on\; \text{'}July\; 3,\; 2014\text{'}}\,\mathrm{15.15194910\; on\; \text{'}October\; 3,\; 2014\text{'}}\,\mathrm{15.15194910\; on\; \text{'}January\; 3,\; 2015\text{'}}\right]$

$\mathrm{receivingleg2}≔\mathrm{CashFlows}\left(\mathrm{swap2}\,\mathrm{receiving}\right)$

$\mathrm{receivingleg2}≔\left[\mathrm{4.234972678\; on\; \text{'}February\; 3,\; 2008\text{'}}\,\mathrm{3.961748634\; on\; \text{'}March\; 3,\; 2008\text{'}}\,\mathrm{4.234972678\; on\; \text{'}April\; 3,\; 2008\text{'}}\,\mathrm{4.098360656\; on\; \text{'}May\; 3,\; 2008\text{'}}\,\mathrm{4.234972678\; on\; \text{'}June\; 3,\; 2008\text{'}}\,\mathrm{4.098360656\; on\; \text{'}July\; 3,\; 2008\text{'}}\,\mathrm{4.234972678\; on\; \text{'}August\; 3,\; 2008\text{'}}\,\mathrm{4.234972678\; on\; \text{'}September\; 3,\; 2008\text{'}}\,\mathrm{4.098360656\; on\; \text{'}October\; 3,\; 2008\text{'}}\,\mathrm{4.234972678\; on\; \text{'}November\; 3,\; 2008\text{'}}\,\mathrm{4.098360656\; on\; \text{'}December\; 3,\; 2008\text{'}}\,\mathrm{4.235721237\; on\; \text{'}January\; 3,\; 2009\text{'}}\,\mathrm{4.246575342\; on\; \text{'}February\; 3,\; 2009\text{'}}\,\mathrm{3.835616438\; on\; \text{'}March\; 3,\; 2009\text{'}}\,\mathrm{4.246575342\; on\; \text{'}April\; 3,\; 2009\text{'}}\,\mathrm{4.109589041\; on\; \text{'}May\; 3,\; 2009\text{'}}\,\mathrm{4.246575342\; on\; \text{'}June\; 3,\; 2009\text{'}}\,\mathrm{4.109589041\; on\; \text{'}July\; 3,\; 2009\text{'}}\,\mathrm{4.246575342\; on\; \text{'}August\; 3,\; 2009\text{'}}\,\mathrm{4.246575342\; on\; \text{'}September\; 3,\; 2009\text{'}}\,\mathrm{4.109589041\; on\; \text{'}October\; 3,\; 2009\text{'}}\,\mathrm{4.246575342\; on\; \text{'}November\; 3,\; 2009\text{'}}\,\mathrm{4.109589041\; on\; \text{'}December\; 3,\; 2009\text{'}}\,\mathrm{4.246575342\; on\; \text{'}January\; 3,\; 2010\text{'}}\,\mathrm{4.246575342\; on\; \text{'}February\; 3,\; 2010\text{'}}\,\mathrm{3.835616438\; on\; \text{'}March\; 3,\; 2010\text{'}}\,\mathrm{4.246575342\; on\; \text{'}April\; 3,\; 2010\text{'}}\,\mathrm{4.109589041\; on\; \text{'}May\; 3,\; 2010\text{'}}\,\mathrm{4.246575342\; on\; \text{'}June\; 3,\; 2010\text{'}}\,\mathrm{4.109589041\; on\; \text{'}July\; 3,\; 2010\text{'}}\,\mathrm{4.246575342\; on\; \text{'}August\; 3,\; 2010\text{'}}\,\mathrm{4.246575342\; on\; \text{'}September\; 3,\; 2010\text{'}}\,\mathrm{4.109589041\; on\; \text{'}October\; 3,\; 2010\text{'}}\,\mathrm{4.246575342\; on\; \text{'}November\; 3,\; 2010\text{'}}\,\mathrm{4.109589041\; on\; \text{'}December\; 3,\; 2010\text{'}}\,\mathrm{4.246575342\; on\; \text{'}January\; 3,\; 2011\text{'}}\,\mathrm{4.246575342\; on\; \text{'}February\; 3,\; 2011\text{'}}\,\mathrm{3.835616438\; on\; \text{'}March\; 3,\; 2011\text{'}}\,\mathrm{4.246575342\; on\; \text{'}April\; 3,\; 2011\text{'}}\,\mathrm{4.109589041\; on\; \text{'}May\; 3,\; 2011\text{'}}\,\mathrm{4.246575342\; on\; \text{'}June\; 3,\; 2011\text{'}}\,\mathrm{4.109589041\; on\; \text{'}July\; 3,\; 2011\text{'}}\,\mathrm{4.246575342\; on\; \text{'}August\; 3,\; 2011\text{'}}\,\mathrm{4.246575342\; on\; \text{'}September\; 3,\; 2011\text{'}}\,\mathrm{4.109589041\; on\; \text{'}October\; 3,\; 2011\text{'}}\,\mathrm{4.246575342\; on\; \text{'}November\; 3,\; 2011\text{'}}\,\mathrm{4.109589041\; on\; \text{'}December\; 3,\; 2011\text{'}}\,\mathrm{4.245826783\; on\; \text{'}January\; 3,\; 2012\text{'}}\,\mathrm{4.234972678\; on\; \text{'}February\; 3,\; 2012\text{'}}\,\mathrm{3.961748634\; on\; \text{'}March\; 3,\; 2012\text{'}}\,\mathrm{4.234972678\; on\; \text{'}April\; 3,\; 2012\text{'}}\,\mathrm{4.098360656\; on\; \text{'}May\; 3,\; 2012\text{'}}\,\mathrm{4.234972678\; on\; \text{'}June\; 3,\; 2012\text{'}}\,\mathrm{4.098360656\; on\; \text{'}July\; 3,\; 2012\text{'}}\,\mathrm{4.234972678\; on\; \text{'}August\; 3,\; 2012\text{'}}\,\mathrm{4.234972678\; on\; \text{'}September\; 3,\; 2012\text{'}}\,\mathrm{4.098360656\; on\; \text{'}October\; 3,\; 2012\text{'}}\,\mathrm{4.234972678\; on\; \text{'}November\; 3,\; 2012\text{'}}\,\mathrm{4.098360656\; on\; \text{'}December\; 3,\; 2012\text{'}}\,\mathrm{4.235721237\; on\; \text{'}January\; 3,\; 2013\text{'}}\,\mathrm{4.246575342\; on\; \text{'}February\; 3,\; 2013\text{'}}\,\mathrm{3.835616438\; on\; \text{'}March\; 3,\; 2013\text{'}}\,\mathrm{4.246575342\; on\; \text{'}April\; 3,\; 2013\text{'}}\,\mathrm{4.109589041\; on\; \text{'}May\; 3,\; 2013\text{'}}\,\mathrm{4.246575342\; on\; \text{'}June\; 3,\; 2013\text{'}}\,\mathrm{4.109589041\; on\; \text{'}July\; 3,\; 2013\text{'}}\,\mathrm{4.246575342\; on\; \text{'}August\; 3,\; 2013\text{'}}\,\mathrm{4.246575342\; on\; \text{'}September\; 3,\; 2013\text{'}}\,\mathrm{4.109589041\; on\; \text{'}October\; 3,\; 2013\text{'}}\,\mathrm{4.246575342\; on\; \text{'}November\; 3,\; 2013\text{'}}\,\mathrm{4.109589041\; on\; \text{'}December\; 3,\; 2013\text{'}}\,\mathrm{4.246575342\; on\; \text{'}January\; 3,\; 2014\text{'}}\,\mathrm{4.246575342\; on\; \text{'}February\; 3,\; 2014\text{'}}\,\mathrm{3.835616438\; on\; \text{'}March\; 3,\; 2014\text{'}}\,\mathrm{4.246575342\; on\; \text{'}April\; 3,\; 2014\text{'}}\,\mathrm{4.109589041\; on\; \text{'}May\; 3,\; 2014\text{'}}\,\mathrm{4.246575342\; on\; \text{'}June\; 3,\; 2014\text{'}}\,\mathrm{4.109589041\; on\; \text{'}July\; 3,\; 2014\text{'}}\,\mathrm{4.246575342\; on\; \text{'}August\; 3,\; 2014\text{'}}\,\mathrm{4.246575342\; on\; \text{'}September\; 3,\; 2014\text{'}}\,\mathrm{4.109589041\; on\; \text{'}October\; 3,\; 2014\text{'}}\,\mathrm{4.246575342\; on\; \text{'}November\; 3,\; 2014\text{'}}\,\mathrm{4.109589041\; on\; \text{'}December\; 3,\; 2014\text{'}}\,\mathrm{4.246575342\; on\; \text{'}January\; 3,\; 2015\text{'}}\,\mathrm{4.246575342\; on\; \text{'}February\; 3,\; 2015\text{'}}\,\mathrm{3.835616438\; on\; \text{'}March\; 3,\; 2015\text{'}}\,\mathrm{4.246575342\; on\; \text{'}April\; 3,\; 2015\text{'}}\,\mathrm{4.109589041\; on\; \text{'}May\; 3,\; 2015\text{'}}\,\mathrm{4.246575342\; on\; \text{'}June\; 3,\; 2015\text{'}}\,\mathrm{4.109589041\; on\; \text{'}July\; 3,\; 2015\text{'}}\,\mathrm{4.246575342\; on\; \text{'}August\; 3,\; 2015\text{'}}\,\mathrm{4.246575342\; on\; \text{'}September\; 3,\; 2015\text{'}}\,\mathrm{4.109589041\; on\; \text{'}October\; 3,\; 2015\text{'}}\,\mathrm{4.246575342\; on\; \text{'}November\; 3,\; 2015\text{'}}\,\mathrm{4.109589041\; on\; \text{'}December\; 3,\; 2015\text{'}}\,\mathrm{4.245826783\; on\; \text{'}January\; 3,\; 2016\text{'}}\,\mathrm{4.234972678\; on\; \text{'}February\; 3,\; 2016\text{'}}\,\mathrm{3.961748634\; on\; \text{'}March\; 3,\; 2016\text{'}}\,\mathrm{4.234972678\; on\; \text{'}April\; 3,\; 2016\text{'}}\,\mathrm{4.098360656\; on\; \text{'}May\; 3,\; 2016\text{'}}\,\mathrm{4.234972678\; on\; \text{'}June\; 3,\; 2016\text{'}}\,\mathrm{4.098360656\; on\; \text{'}July\; 3,\; 2016\text{'}}\,\mathrm{4.234972678\; on\; \text{'}August\; 3,\; 2016\text{'}}\,\mathrm{4.234972678\; on\; \text{'}September\; 3,\; 2016\text{'}}\,\mathrm{4.098360656\; on\; \text{'}October\; 3,\; 2016\text{'}}\,\mathrm{4.234972678\; on\; \text{'}November\; 3,\; 2016\text{'}}\,\mathrm{4.098360656\; on\; \text{'}December\; 3,\; 2016\text{'}}\,\mathrm{4.235721237\; on\; \text{'}January\; 3,\; 2017\text{'}}\,\mathrm{4.246575342\; on\; \text{'}February\; 3,\; 2017\text{'}}\,\mathrm{3.835616438\; on\; \text{'}March\; 3,\; 2017\text{'}}\,\mathrm{4.246575342\; on\; \text{'}April\; 3,\; 2017\text{'}}\,\mathrm{4.109589041\; on\; \text{'}May\; 3,\; 2017\text{'}}\,\mathrm{4.246575342\; on\; \text{'}June\; 3,\; 2017\text{'}}\,\mathrm{4.109589041\; on\; \text{'}July\; 3,\; 2017\text{'}}\,\mathrm{4.246575342\; on\; \text{'}August\; 3,\; 2017\text{'}}\,\mathrm{4.246575342\; on\; \text{'}September\; 3,\; 2017\text{'}}\,\mathrm{4.109589041\; on\; \text{'}October\; 3,\; 2017\text{'}}\,\mathrm{4.246575342\; on\; \text{'}November\; 3,\; 2017\text{'}}\,\mathrm{4.109589041\; on\; \text{'}December\; 3,\; 2017\text{'}}\,\mathrm{4.246575342\; on\; \text{'}January\; 3,\; 2018\text{'}}\right]$

$\mathrm{BasisPointSensitivity}\left(\mathrm{payingleg1}\,0.05\right)$

$7468.989624$

$\mathrm{BasisPointSensitivity}\left(\mathrm{payingleg2}\,0.05\right)$

$3783.492266$

$\mathrm{BasisPointSensitivity}\left(\mathrm{receivingleg1}\,0.05\right)$

$3783.492266$

$\mathrm{BasisPointSensitivity}\left(\mathrm{receivingleg2}\,0.05\right)$

$7468.989624$

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

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