HWTree_CMS_Fixed_Rate() function |

**HWTree_CMS_Fixed_Rate() function**

**HWTree_CMS_Fixed_Rate(argument list…)**

This function returns the fair (i.e. zero NPV) fixed side swap rate for a Constant Maturity Swap using the Hull-White trinomial tree model. The function uses the following arguments:

Argument |
Description |
Restrictions |

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

Swap_Start_Date |
start date of swap | valid Excel date number >= Valuation_Date |

Term _in_months |
term of the swap in months | > 0 |

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

Fixed_Year_Basis |
year basis used in determining payments on fixed side | 360 or 365 |

CMS_Rate_term_months |
term of the rate underlying the floating (constant maturity swap index) side of the swap | > 0 |

CMS_Rate_freq |
frequency of the CMS indexing rate | 1, 2, 4, or 12 |

CMS_Year_Basis |
year basis for the CMS side of the swap | 360 or 365 |

CMS_pay_freq |
payment frequency of the CMS side of the swap | <= CMS_Rate_freq |

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

Swap_Rates |
array of continuously compounded zero coupon swap rates in decimal form (e.g. six percent entered as 0.06) corresponding to Swap_Dates | > 0 |

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 |

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

Steps_per_CMS_cashflow |
tree steps per CMS cash flow | > 0 (typically 2 to 10) |

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