Fixed End-Date European Swaptions (HW-Tree)

Fixed End-Date European Swaptions (HW-Tree)

HWTree_EuroPayerFixMat(argument list…)

These functions return the value per \$1 notional (e.g. 0.03 means 3% of notional) of European Put (Payer) and Call (Receiver) swaptions, using the Hull-White trinomial tree model, where the underlying swaps have fixed start and end dates. The functions use the following arguments:

 Argument Description Restrictions Valuation_Date valuation date (e.g. today) valid Excel date number Swaption_Mat_Date the exercise date for the option >= Valuation_Date Notice_Days minimum notice, in days, required to exercise swaption >= 0 Strike_Rate strike rate for the swaption in decimal form (e.g. six percent entered as 0.06) > 0 Swap_Start_Date beginning of underlying swap valid Excel date number TIM length of underlying swap, in months > 0 Fixed_freq number of fixed-side payments per annum 1, 2, 4, or 12 Yr_Basis year basis used in determining payments 360 or 365 Hols array of holiday dates valid Excel date numbers strictly ascending order DateConv business date convention 0 = no adjustment 1 = Following business day 2 = Modified following 3 = Previous Tree_Steps number of steps in trinomial tree > 0, typically 25 to 50 Short_Rate_Vol annual standard deviation of the short rate of interest, in decimal form > 0 Rev_Rate mean reversion rate of the short rate of interest, in decimal form >= 0 Zero_Dates array of zero coupon curve dates strictly ascending order The 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 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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