TimeValue

TimeValue[s,i,t]
calculates the time value of a security s at time t for an interest specified by i.

Details and OptionsDetails and Options

  • For a simple amount a and an effective interest rate i, TimeValue[a,i,t] gives the future or accumulated value of a at time t.
  • TimeValue[a,i,-t] gives the present or discounted value of a simple amount a for an effective interest rate i.
  • Times can be given in abstract units or as dates.
  • TimeValue works with arbitrary numeric or symbolic expressions. Symbolic formulas returned by TimeValue can be solved for interest rates, payments, or time periods using built-in functions such as Solve and FindRoot.
  • In TimeValue[s,], the security s can be given as a simple amount or as a Cashflow, Annuity, or AnnuityDue object.
  • TimeValue[s,i,{t,t1}] computes the time value accumulated or discounted from time to t using interest i. Time serves as a reference point for cash-flow occurrences.
  • TimeValue[s,i] is equivalent to TimeValue[s,i,0].
  • TimeValue[,t] is equivalent to TimeValue[,{t,0}].
  • In TimeValue[s,i,t], the interest i can be specified in the following forms:
  • reffective interest rate
    {r1,r2,}schedule of rates applied over unit time intervals
    {{t1,r1},{t2,r2},}schedule of rates changing at the specified time
    {p1->r1,p2->r2,}term structure of effective interest rates
    functionforce of interest, given as a function of time
    EffectiveInterest[]an EffectiveInterest object
  • TimeValue[s,EffectiveInterest[r,1/n],t] uses a nominal interest rate r, compounded n times per unit period. If times are specified as concrete dates, all interest rates are assumed to be annual rates.
  • TimeValue[s,{r1,r2,},] gives the time value of an asset s for an interest rate schedule , where the are interest rates for consecutive unit periods.
  • specifies an interest rate in effect before time . This is equivalent to {{-Infinity,r0},{t1,r1},{t2,r2},}.
  • TimeValue[security,{r1,r2,},t] is equivalent to TimeValue[security,{{0,r1},{1,r2},},t].
  • TimeValue[a,f,{t,t1}] gives the time value of the simple amount a based on the force of interest function f which corresponds to the growth or decay process given by .
  • A force of interest specification can be used with any security type.
  • The following options can be given:
  • Assumptions$Assumptionsassumptions made about parameters
    GenerateConditionsFalsewhether to generate conditions on parameters

ExamplesExamplesopen allclose all

Basic Examples  (14)Basic Examples  (14)

Future value of $1000 at an effective interest rate of 5% after 3 compounding periods:

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Present value of $1000 at 5% over 3 periods:

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Future value of $1000 using a nominal rate of 5% with quarterly compounding:

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TimeValue works with symbolic parameters:

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Present value at 6% of a 12-period annuity with payments of $100:

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Future value at 6% of a series of cash flows occurring at regular intervals:

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Future value in three years' time of $1000 invested on January 1, 2010 at 7.5%:

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Number of periods required to grow $1000 to $3000 at a 6% interest rate:

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Solve for the interest rate:

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Future value after 5 periods using a schedule of rates over unit time intervals:

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Present value using a schedule of rates effective at the specified times:

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Present value of an amount paid at time 10 using a term structure of interest rates:

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Future value using a schedule of rates over irregular time intervals:

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Compute the future value after three time periods using a force of interest :

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Introduced in 2010
(8.0)