Complex Retractable Bonds (HW-Tree) |

**Complex Retractable Bonds (HW-Tree)**

**HWTree_RetractableBond(argument list…)**

**HWTree_RetractableBond_OptVal(argument list…)**

These functions deal with the valuation of retractable bonds. The first values the pure (non-retractable) bond with the embedded bond option, while the second returns only the value of the embedded option. The underlying bond may pay a varying coupon rate (e.g. step-up) and have a non-level redemption price schedule. The functions use 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 |

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

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) |

Coupon_Dates |
array of bond coupon dates | First element must be the last coupon date before the settlement date, or an even older coupon, and last element must be the maturity date of the bond. Dates must be in ascending order, and consistent with the coupon frequency and maturity date. |

Coupon_Rates |
array of bond coupon rates, as annualized rates, in decimal form (e.g. six percent entered as 0.06) | >= 0, and corresponding to the Coupon_Dates array |

Retract_Prices |
array of put prices per $100 par corresponding to Coupon_Dates array | > 0 if retractable on a date = 0 if not retractable on a date |

Notice_Days |
minimum notice, in days, required to retract the bond | >= 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 |

Tree_Steps_per_Coupon |
tree steps per fixed coupon period in the trinomial lattice | > 0 (typically 3 to 10) |

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