This is documentation for Mathematica 8, which was
based on an earlier version of the Wolfram Language.
View current documentation (Version 11.2)

TimeValue

TimeValue
calculates the time value of a security s at time t for an interest specified by i.
  • For a simple amount a and an effective interest rate i, TimeValue gives the future or accumulated value of a at time t.
  • TimeValue 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.
  • TimeValue computes the time value accumulated or discounted from time to t using interest i. Time serves as a reference point for cash-flow occurrences.
  • In TimeValue, 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 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 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
Future value of $1000 at an effective interest rate of 5% after 3 compounding periods:
Present value of $1000 at 5% over 3 periods:
Future value of $1000 using a nominal rate of 5% with quarterly compounding:
TimeValue works with symbolic parameters:
Present value at 6% of a 12-period annuity with payments of $100:
Future value at 6% of a series of cash flows occurring at regular intervals:
Future value in three years' time of $1000 invested on January 1, 2010 at 7.5%:
Number of periods required to grow $1000 to $3000 at a 6% interest rate:
Solve for the interest rate:
Future value after 5 periods using a schedule of rates over unit time intervals:
Present value using a schedule of rates effective at the specified times:
Present value of an amount paid at time 10 using a term structure of interest rates:
Future value using a schedule of rates over irregular time intervals:
Compute the future value after three time periods using a force of interest :
Future value of $1000 at an effective interest rate of 5% after 3 compounding periods:
In[1]:=
Click for copyable input
Out[1]=
 
Present value of $1000 at 5% over 3 periods:
In[1]:=
Click for copyable input
Out[1]=
 
Future value of $1000 using a nominal rate of 5% with quarterly compounding:
In[1]:=
Click for copyable input
Out[1]=
 
TimeValue works with symbolic parameters:
In[1]:=
Click for copyable input
Out[1]=
 
Present value at 6% of a 12-period annuity with payments of $100:
In[1]:=
Click for copyable input
Out[1]=
 
Future value at 6% of a series of cash flows occurring at regular intervals:
In[1]:=
Click for copyable input
Out[1]=
 
Future value in three years' time of $1000 invested on January 1, 2010 at 7.5%:
In[1]:=
Click for copyable input
Out[1]=
 
Number of periods required to grow $1000 to $3000 at a 6% interest rate:
In[1]:=
Click for copyable input
Out[1]=
 
Solve for the interest rate:
In[1]:=
Click for copyable input
Out[1]=
 
Future value after 5 periods using a schedule of rates over unit time intervals:
In[1]:=
Click for copyable input
Out[1]=
 
Present value using a schedule of rates effective at the specified times:
In[1]:=
Click for copyable input
Out[1]=
 
Present value of an amount paid at time 10 using a term structure of interest rates:
In[1]:=
Click for copyable input
Out[1]=
 
Future value using a schedule of rates over irregular time intervals:
In[1]:=
Click for copyable input
Out[1]=
 
Compute the future value after three time periods using a force of interest :
In[1]:=
Click for copyable input
Out[1]=
Symbolic time value computations:
Time value computation using a rate schedule:
Time value based on a force of interest function:
Valuation of cash flows:
A symbolic cash-flow computation:
Valuation of annuities:
A symbolic annuity calculation:
Symbolic solution for the number of periods:
Solve an annuity calculation for the payment amount:
An annuity with a continuous payment flow can be coupled with a force of interest specification:
Hours, minutes, and seconds can be given in date specifications:
Some solutions may only be conditionally convergent:
Assumptions can be specified to simplify an expression or to carry out an integration or summation:
Find the amount that must be invested at a rate of 9% per year in order to accumulate $1000 at the end of 3 years:
Find the accumulated value of $5000 over 5 years at 8% compounded quarterly:
Find how much time it will take $1000 to accumulate to $1500 if invested at 6%, compounded semiannually:
Find the future value of 1 at the end of n years if the force of interest is , where t is time:
Find an expression for the accumulated value of $1000 at the end of 15 years if the effective interest rate is for the first 5 years, for the second 5 years, and for the third 5 years:
If you invest $1000 at 8% per year compounded quarterly, find how much can be withdrawn at the end of every quarter to use up the fund exactly at the end of 10 years:
Find the rate, compounded quarterly, at which $16000 is the present value of a $1000 payment paid at the end of every quarter for 5 years:
Find the accumulated value of a 10-year annuity of $100 per year if the effective rate of interest is 5% for the first 6 years and 4% for the last 4 years:
Find the net present value of a $1000 initial investment producing future incoming cash flows:
Find the internal rate of return of an investment with regular cash flows:
In return for receiving $600 at the end of 8 years, a person pays $100 immediately, $200 at the end of 5 years, and a final payment at the end of 10 years. Find the final payment amount that will make the rate of return on the investment equal to 8% compounded semiannually:
Payments of $100, $200, and $500 are due at the end of years 2, 3, and 8, respectively. Find the point in time where a payment of $800 would be equivalent at 5% interest:
Another method to solve the problem above:
Find the effective rate of interest at which the present value of $2000 at the end of 2 years and $3000 at the end of 4 years will be equal to $4000:
Since a loan's balance at any time is equal to the present value of its remaining future payments, Annuity can be used to create an amortization table:
Graph the principal payoff over time:
Present value using a schedule of rates over irregular time intervals:
This is equivalent to:
Use Plot and Plot3D to show the dependencies of an annuity on a set of parameters:
Dependence on interest rate:
Dependence on payment growth rate:
Use Plot3D to view the interest rate/growth rate landscape:
When finding interest rate solutions to long-term or high-frequency annuities or bonds, FindRoot may be needed instead of Solve:
In order for TimeValue to determine if there are enough rates in a schedule to reach the valuation period, the valuation period must be numeric:
Use Manipulate to explore the various dependencies a series of cash flows has on a set of variables:
New in 8