GenCurveBondPriceRV_FShock() function

GenCurveBondPriceRV_FShock() function

GenCurveBondPriceRV_FShock(argument list…)

This function returns the price of a bond, and allows the curve to be shocked using forward curve shocks in addition to the "normal" shocks. This function is called internally by the HW_Bond_ED_Hedge function, and is exported for testing purposes only (one can determine the forward rate curve shocks for a 1 tick move in the Eurodollar contract, and see the effect that this shock has on the bond price). The function uses 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
Coupon	annual bond coupon in decimal form (e.g. six percent entered as 0.06). For zero coupon (strip) bonds, enter 0.	>= 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 US T-Bonds 2 = act/360 3 = act/365 4 = 30/360 (European) 5 = Canadian modified act/365
Redemption	redemption value of bond per $100 par	typically $100 [always $100 in the HW_Bond_ED_Hedge routine]
Curve_Type	defines how the Zero_Rates array is to be interpreted	0 = continuously compounded riskless rates in, decimal form 1 = discount factors (first must be 1.0, and must be declining)
Interpolation	the interpolation method to employ for the Zero_Rates array	0 = cubic-spline 1 = linear 2 = log-linear
Zero_Dates	array of zero coupon curve dates	strictly ascending order The first date of this array must be Valuation_Date
Zero_Rates	an array of zero rates or discount factors corresponding to Zero_Dates
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
Fwd_Bucket_Start	beginning of bucket for shift of continuously compounded FORWARD RATE curve (in addition to any other of the above shocks)	>= Valuation_Date
Fwd_Bucket_End	end of bucket for FORWARD RATE curve shift	> Fwd_Bucket_Start
Fwd_Bucket_Shift	parallel shift of the continuously compounded forward rate curve between Fwd_Bucket_Start and Fwd_Bucket_End in decimal form	set to 0 if curve shock is not desired
Fwd_Buck_Dir	the method used to shock the forward rate curve; -1 should be used for the nearest futures contract (in order to capture the effect from stub rate to the first futures date); 0 should be used for "middle" contracts, and 1 should be used for the final contract (in order to capture shocks beyond the final futures contract)	-1: applies the forward rate shock from valuation date until the Deposit_Expiry date 0: applies the shock only from the Futures_Expiry date until the Deposit_Expiry date 1: applies the shock from the Futures_Expiry date onwards