HWTree_SavingsBond() function

HWTree_SavingsBond() function

HWTree_SavingsBond(argument list…)

This function returns the value of a redeemable savings bond. The note does not pay cash interest payments over its life, but rather the principal grows at guaranteed rates. After put protection, if any, the note may be redeemed by the investor at principal plus accrued reinvestment. The note may have a variable accrual rate, that is, reinvested principal plus interest may accrue at different rates over different periods. 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 Freq bond accrual frequency per annum 1, 2, 4, or 12 DCB day count basis 0 = 30/360 (US) 1 = act/act for CAD/US T-Bonds 2 = act/360 3 = act/365 4 = 30/360 (European) Accrual_Dates array of accrual dates First element must be the issue date, and last element must be the maturity date of the bond. Dates must be in ascending order, and consistent with the coupon frequency and maturity date. Accrual_Rates array of bond accrual rates, as annualized rates, in decimal form (e.g. six percent entered as 0.06) >= 0, and corresponding to the Accrual_Dates array Put_Prices array of redemption prices per \$100 par corresponding to Accrual_Dates array > 0 if redeemable on a date (typically > \$100, and always rising) = 0 if not redeemable on a date Notice_Days minimum notice, in days, required to redeem the bond >= 0 Zero_Dates array of zero coupon curve dates strictly ascending order The 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 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 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 Tree_Steps_per_Coupon tree steps per fixed coupon period in the trinomial lattice > 0 (typically 3 to 10)

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