GenCurveBondPriceRV_FShock() function

GenCurveBondPriceRV_FShock(argument list…)

This function returns the price of a bond, and allows the curve to be shocked using forward curve shocks in addition to the "normal" shocks. This function is called internally by the HW_Bond_ED_Hedge function, and is exported for testing purposes only (one can determine the forward rate curve shocks for a 1 tick move in the Eurodollar contract, and see the effect that this shock has on the bond price). The function uses the following arguments:

 Argument Description Restrictions Valuation_Date valuation date (e.g. today) valid Excel date number Settlement_Date bond settlement date valid Excel date number >= Valuation_Date Maturity_Date bond maturity date valid Excel date number >= Settlement_Date Coupon annual bond coupon in decimal form (e.g. six percent entered as 0.06). For zero coupon (strip) bonds, enter 0. >= 0 Freq number of bond coupons per annum 1, 2, 4, or 12 DCB day count basis 0 = 30/360 (US) 1 = act/act for US T-Bonds 2 = act/360 3 = act/365 4 = 30/360 (European) 5 = Canadian modified act/365 Redemption redemption value of bond per \$100 par typically \$100 [always \$100 in the HW_Bond_ED_Hedge routine] Curve_Type defines how the Zero_Rates array is to be interpreted 0 = continuously compounded riskless rates in, decimal form 1 = discount factors (first must be 1.0, and must be declining) Interpolation the interpolation method to employ for the Zero_Rates array 0 = cubic-spline 1 = linear 2 = log-linear Zero_Dates array of zero coupon curve dates strictly ascending order The first date of this array must be Valuation_Date Zero_Rates an array of zero rates or discount factors corresponding to Zero_Dates 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 Fwd_Bucket_Start beginning of bucket for shift of continuously compounded FORWARD RATE curve (in addition to any other of the above shocks) >= Valuation_Date Fwd_Bucket_End end of bucket for FORWARD RATE curve shift > Fwd_Bucket_Start Fwd_Bucket_Shift parallel shift of the continuously compounded forward rate curve between Fwd_Bucket_Start and Fwd_Bucket_End in decimal form set to 0 if curve shock is not desired Fwd_Buck_Dir the method used to shock the forward rate curve; -1 should be used for the nearest futures contract (in order to capture the effect from stub rate to the first futures date); 0 should be used for "middle" contracts, and 1 should be used for the final contract (in order to capture shocks beyond the final futures contract) -1: applies the forward rate shock from valuation date until the Deposit_Expiry date 0: applies the shock only from the Futures_Expiry date until the Deposit_Expiry date 1: applies the shock from the Futures_Expiry date onwards

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