HW_SimpleExtendible() function |

**HW_Extendible() function**

**HW_SimpleExtendible (argument list…)**

This function returns the value of a once-extendible (at par) bond with step-up (or level, or step-down) coupon using the Hull-White model. 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 |

Extendible_Date |
exercise date of option | >= Settlement_Date (must be a coupon date) |

Maturity_Date |
bond maturity date | valid Excel date number >= Retractable_Date |

First_Cpn |
coupon rate on the bond up-to and including the Extendible_Date in decimal form (e.g. six percent entered as 0.06) | >= 0 |

Second_Cpn |
coupon rate on the bond after Extendible_Date | >= 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 CAD/US T-Bonds 2 = act/360 3 = act/365 4 = 30/360 (European) |

Notice_Days |
minimum notice, in days, required to exercise the extension option | >= 0 |

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 |

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 |

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