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 as a fraction of the year.

frequency = Annual, Semiannual, EveryFourthMonth, Quarterly, Bimonthly, or Monthly -- This option specifies coupon frequency. The default value is Annual.

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 FixedCouponBond commands creates a new fixed-coupon bond with the specified parameters. It is assumed that the face value of the bond is $100.0$.

The parameter term specifies the length of the term of this bond. The parameter units specifies the time units in which the term is measured.

The parameter coupons specifies coupon rates for the bond. The value of the parameter can be either a non-negative constant or a list. If coupons is given as a negative constant then all coupon rates are assumed to be equal. Irregular coupons can be specified as a list of rates. The first element of this list is the rate of the first coupon, the second element of this list is the rate of the second coupon, etc. If the number of coupon payments exceeds the number of elements in the coupons list, the last rate from that list will be used for all the remaining coupons.

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

$\mathrm{SetEvaluationDate}\left(''January\; 05,\; 2007''\right)\:$

$\mathrm{Settings}\left(\left[\mathrm{settlementdays}=0\,\mathrm{daycounter}=\mathrm{Historical}\,\mathrm{businessdayconvention}=\mathrm{Unadjusted}\right]\right)$

$\left[\mathrm{settlementdays}=0\,\mathrm{daycounter}=\mathrm{Historical}\,\mathrm{businessdayconvention}=\mathrm{Unadjusted}\right]$

$\mathrm{bond1}≔\mathrm{FixedCouponBond}\left(100\,5\,\mathrm{Years}\,\left[0.05\,0.07\,0.03\,0.04\right]\,\mathrm{issuedate}=''December\; 06,\; 2006''\right)$

$\mathrm{bond1}≔\mathbf{module}\left(\right)\mathbf{end\; module}$

$\mathrm{bond2}≔\mathrm{FixedCouponBond}\left(100\,5\,\mathrm{Years}\,0.05\,\mathrm{issuedate}=''December\; 06,\; 2006''\right)$

$\mathrm{bond2}≔\mathbf{module}\left(\right)\mathbf{end\; module}$

$\mathrm{bond3}≔\mathrm{FixedCouponBond}\left(120\,5\,\mathrm{Years}\,\left[0.05\,0.07\,0.03\right]\,\mathrm{issuedate}=''December\; 06,\; 2006''\right)$

$\mathrm{bond3}≔\mathbf{module}\left(\right)\mathbf{end\; module}$

$\mathrm{CashFlows}\left(\mathrm{bond1}\right)$

$\left[\mathrm{5.\; on\; \text{'}December\; 6,\; 2007\text{'}}\,\mathrm{7.001362377\; on\; \text{'}December\; 6,\; 2008\text{'}}\,\mathrm{2.999416124\; on\; \text{'}December\; 6,\; 2009\text{'}}\,\mathrm{4.\; on\; \text{'}December\; 6,\; 2010\text{'}}\,\mathrm{4.\; on\; \text{'}December\; 6,\; 2011\text{'}}\,\mathrm{100.\; on\; \text{'}December\; 6,\; 2011\text{'}}\right]$

$\mathrm{CashFlows}\left(\mathrm{bond2}\right)$

$\left[\mathrm{5.\; on\; \text{'}December\; 6,\; 2007\text{'}}\,\mathrm{5.000973127\; on\; \text{'}December\; 6,\; 2008\text{'}}\,\mathrm{4.999026873\; on\; \text{'}December\; 6,\; 2009\text{'}}\,\mathrm{5.\; on\; \text{'}December\; 6,\; 2010\text{'}}\,\mathrm{5.\; on\; \text{'}December\; 6,\; 2011\text{'}}\,\mathrm{100.\; on\; \text{'}December\; 6,\; 2011\text{'}}\right]$

$\mathrm{CashFlows}\left(\mathrm{bond3}\right)$

$\left[\mathrm{5.\; on\; \text{'}December\; 6,\; 2007\text{'}}\,\mathrm{7.001362377\; on\; \text{'}December\; 6,\; 2008\text{'}}\,\mathrm{2.999416124\; on\; \text{'}December\; 6,\; 2009\text{'}}\,\mathrm{3.\; on\; \text{'}December\; 6,\; 2010\text{'}}\,\mathrm{3.\; on\; \text{'}December\; 6,\; 2011\text{'}}\,\mathrm{120.\; on\; \text{'}December\; 6,\; 2011\text{'}}\right]$

$\mathrm{cleanprice1}≔\mathrm{CleanPrice}\left(\mathrm{bond1}\,0.05\right)$

$\mathrm{cleanprice1}≔97.93538076$

$\mathrm{dirtyprice1}≔\mathrm{DirtyPrice}\left(\mathrm{bond1}\,0.05\right)$

$\mathrm{dirtyprice1}≔98.34633967$

$\mathrm{cleanprice2}≔\mathrm{CleanPrice}\left(\mathrm{bond2}\,0.05\right)$

$\mathrm{cleanprice2}≔99.45019629$

$\mathrm{dirtyprice2}≔\mathrm{DirtyPrice}\left(\mathrm{bond2}\,0.05\right)$

$\mathrm{dirtyprice2}≔99.86115519$

$\mathrm{YieldFromCleanPrice}\left(\mathrm{bond1}\,\mathrm{cleanprice1}\right)$

$0.05000000001$

$\mathrm{YieldFromDirtyPrice}\left(\mathrm{bond1}\,\mathrm{dirtyprice1}\right)$

$0.04999999999$

$\mathrm{YieldFromCleanPrice}\left(\mathrm{bond2}\,\mathrm{cleanprice2}\right)$

$0.05000000000$

$\mathrm{YieldFromDirtyPrice}\left(\mathrm{bond2}\,\mathrm{dirtyprice2}\right)$

$0.05000000000$

$\mathrm{discount}≔\mathrm{ForwardCurve}\left(0.05\right)$

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

$\mathrm{npv1}≔\mathrm{NetPresentValue}\left(\mathrm{bond1}\,\mathrm{discount}\right)$

$\mathrm{npv1}≔98.34633967$

$\mathrm{npv2}≔\mathrm{NetPresentValue}\left(\mathrm{bond2}\,\mathrm{discount}\right)$

$\mathrm{npv2}≔99.86115519$

$\mathrm{InternalRateOfReturn}\left(\mathrm{bond1}\,\mathrm{npv1}\right)$

$0.05000000000$

$\mathrm{InternalRateOfReturn}\left(\mathrm{bond2}\,\mathrm{npv2}\right)$

$0.05000000000$

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.

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

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