HW_FwdParSwapRate() function |

**HW_FwdParSwapRate() function**

**HW_FwdParSwapRate(argument list…)**

This function is not derived from the Hull-White model per se, but is provided as a utility which is useful when pricing swap options with the Hull-White model. It returns the fair fixed rate on a swap using zero curve rates shifted by a given OAS (option-adjusted spread). 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 |

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

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

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 |

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