HW_cap_var_strike() and HW_floor_var_strike() functions |

**HW_cap_var_strike() and HW_floor_var_strike() functions**

**HW_cap_var_strike(argument list…)**

**HW_floor_var_strike(argument list…)**

These functions return the value of caps and floors with varying principal amounts and strikes, 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 |

Principal_Dates |
array of principal dates | strictly ascending order |

Principal_Amounts |
array of principal amounts (last element is unused) | >= 0 |

Caplet_Strikesor Floorlet_Strikes |
array of option strike rates in decimal form (e.g. six percent entered as 0.06) corresponding to the above arrays | > 0 |

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 |

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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