HW_cap_fix_strike() and HW_floor_fix_strike() functions |

**HW_cap_fix_strike() and HW_floor_fix_strike() functions**

**HW_cap_fix_strike(argument list…)**

**HW_floor_fix_strike(argument list…)**

These functions return the value of fixed-strike interest rate caps and floors using the Hull-White analytic model. The functions use the following arguments:

Argument |
Description |
Restrictions |

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

Term_in_months |
term of the cap/floor in months | > 0 |

Months_Forward |
number of months that the cap/floor starts after Valuation_Date | >= 0 |

Frequency |
number of caplets/floorlets per annum | 1, 2, 4, or 12 |

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

Cap_Rate or Floor_Rate |
option strike in decimal form (e.g. six percent entered as 0.06) | > 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 |

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