Constant Strike Bermudan Swaptions (HW-Tree) |

**Constant Strike Bermudan Swaptions (HW-Tree)**

**HWTree_BermRecvSwaption_Simple(argument list…)**

**HWTree_BermPayerSwaption_Simple(argument list…)**

These functions return the value per $1 notional (e.g. 0.03 means 3% of notional) of Bermudan Put (Payer) and Call (Receiver) swaptions, using the Hull-White trinomial tree model. When exercised, the holder of the option enters into a swap with a predetermined start and end date. Accruals begin on the swap start date (if exercised before the swap start date) or on the exercise date (if exercised past the swap start date). These versions of the Bermudan swaption only allow a constant strike rate on evenly-spaced exercise dates (unlike the generalized versions). The functions use the following arguments:

Argument |
Description |
Restrictions |

Valuation_Date |
valuation date (e.g. today) | valid Excel date number |

First_Exercise_Date |
first option exercise date | valid Excel date number |

Exer_TIM |
the number of months between the first and final exercise dates (0=Euro swaptions) | >= 0 (must ensure that it is an even multiple of 12/Exer_Freq) |

Exer_Freq |
number of exercise dates per annum | 1, 2, 4, or 12 |

Strike |
strike rate for the swaption in decimal form (e.g. six percent entered as 0.06) | > 0 |

Notice_Days |
minimum notice, in days, required to exercise swaption | >= 0 |

Swap_Start_Date |
beginning of underlying swap | valid Excel date number |

TIM |
length of underlying swap, in months | > 0 |

Fixed_freq |
number of fixed-side payments per annum | 1, 2, 4, or 12 |

Yr_Basis |
year basis used in determining payments | 360 or 365 |

Holidays |
array of holiday dates | valid Excel date numbers strictly ascending order |

Date_Convention |
business date convention | 0 = no adjustment 1 = Following business day 2 = Modified following 3 = Previous |

Tree_Steps |
number of steps in trinomial tree PER EXERCISE DATE | > 0, typically 5 to 10 |

Short_Rate_Vol |
annual standard deviation of the short rate of interest, in decimal form | > 0 |

Reversion_Rate |
mean reversion rate of the short rate of interest, in decimal form | >= 0 |

Zero_Dates |
array of zero coupon curve dates | strictly ascending orderThe first date of this array must be Valuation_Date |

Zero_Rates |
array of continuously compounded riskless rates in decimal form (e.g. six percent entered as 0.06) corresponding to Zero_Dates | > 0 |

OAS |
parallel shift of the zero curve in decimal form | |

Bucket_Start |
beginning of bucket for zero curve shifts | set to 0 if curve shift is not desired |

Bucket_End |
end of bucket for zero curve shift | >= Bucket_Start |

Bucket_Shift |
parallel shift of the zero curve between Bucket_Start and Bucket_End in decimal form | set to 0 if curve shock is not desired |

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