Level-coupon European & American Bond Options (HW-Tree) |

**Level-coupon European & American Bond Options (HW-Tree)**

**HWTree_BondAmerCall(argument list…)**

**HWTree_BondAmerPut(argument list…)**

**HWTree_BondEuroCall(argument list…)**

**HWTree_BondEuroPut(argument list…)**

These functions return the values of American and European call and put options on coupon-bearing bonds using the Hull-White trinomial tree interest rate model. The functions use the following arguments:

Argument |
Description |
Restrictions |

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

Bond_Settlement_Lag |
number of business days until settlement for bond transaction made on Valuation_Date | >= 0 |

Bond_Maturity_Date |
bond maturity date | > Valuation_Date (with settlement lag) |

Coupon |
annual bond coupon in decimal form (e.g. six percent entered as 0.06) | >= 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) |

Option_Maturity |
option expiry date | valid Excel date number >= Valuation_Date <= Bond_Maturity_Date |

Strike |
option strike per $100 par | > 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 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 |
start 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 |

Tree_Steps |
number of steps in trinomial tree | > 0, typically 25-50 |

Holidays |
array of holiday dates | valid Excel date numbers strictly ascending order |

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