| HW_ED_Futures_Price() function | |
HW_ED_Futures_Price() function
HW_ED_Futures_Price(argument list…)
This function returns the fair price of a Eurodollar/BAX futures contract, given the appropriate interest rates and volatility structure, using analytic formulae derived from the Hull-White model. See the paper in the reference section by George Kirikos (President of Leap of Faith Research Inc.) which derives the formulae. The convexity adjustment is properly accounted for by the routine. The function uses the following arguments:
| Argument | Description | Restrictions |
| Valuation_Date | valuation date (e.g. today) | valid Excel date number |
| Futures_Expiry | date at which the underlying futures contract expires (note: for US futures, this is 2 days after the last trading day) | >= Valuation_Date |
| Deposit_Expiry | date at which a deposit starting on the Futures_Expiry matures | > Futures_Expiry |
| Deposit_Days | number of days in the deposit in accordance with the day count convention (i.e. could differ from actual calendar difference) | > 0 (e.g. 90 or 91) |
| Deposit_Year_Basis | year basis used in determining payments | >0, typically 360 or 365 |
| Zero_Rate to_futures_expiry | the continuously compounded zero rate from the valuation date to the futures expiry date (i.e. a stub rate) | in decimal form (e.g. six percent entered as 0.06) |
| Zero_Rate to_deposit_expiry | the continuously compounded zero rate from the valuation date to the deposit expiry date | in decimal form (e.g. six percent entered as 0.06) |
| 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 |
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